A new approximate likelihood estimator for ARMA-filtered hidden markov models

IEEE Transactions on Signal Processing

Volumn 48, Issue 6, 2000, Pages 1537-1547

  Michalek, Steffen ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Approximate likelihood estimate; Autoregressive moving average (ARMA) filter; Hidden markov model; Hidden markov model with correlated noise; Innovations algorithm; Linear filtered hidden Markov model; Markov switching model; Maximum likelihood estimate

Indexed keywords

ALGORITHMS; MARKOV PROCESSES; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; PROBABILITY; REGRESSION ANALYSIS; SPURIOUS SIGNAL NOISE;

AUTOREGRESSIVE MOVING AVERAGE FILTER; HIDDEL MARKOV MODEL WITH CORRELATED NOISE; HIDDEN MARKOV MODEL; LINEAR FILTERED HIDDEN MARKOV MODEL; MARKOV SWITCHING MODEL;

SIGNAL FILTERING AND PREDICTION;

EID: 0033729178     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/78.845913     Document Type: Article

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