Improved smoother dynamics for discrete time HMM parameter estimation

Proceedings of the IEEE Conference on Decision and Control

Volumn 4, Issue , 2001, Pages 3506-3511

  Elliott, R J ^a   Malcolm, W P ^a  

^a UNIVERSITY OF CALGARY   (Canada)

Author keywords

Expectation maximisation algorithm; Martingales; Parameter estimation; Reference probability

Indexed keywords

ALGORITHMS; CALCULATIONS; DISCRETE TIME CONTROL SYSTEMS; MARKOV PROCESSES; MATHEMATICAL MODELS; MATRIX ALGEBRA; PROBABILITY; SPURIOUS SIGNAL NOISE; STATE SPACE METHODS; VECTORS;

EXPECTATION MAXIMIZATION ALGORITHM; HIDDEN MARKOV MODEL; MARTINGALES;

PARAMETER ESTIMATION;

EID: 0035709681     PISSN: 01912216     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

1. MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
2. Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
3. New finite dimensional filters and smoothers for noisily observed Markov chains
4. Exact adaptive filters for Markov chains observed in Gaussian noise
5. Time discretization of continuous time filters and smoothers for HMM parameter estimation
6. Exact filters for the estimation of the number of transitions of finite-state continuous time Markov processes