@article {Dey1994Estimation-of-M,
title = {Estimation of Markov-modulated time-series via EM algorithm},
journal = {Signal Processing Letters, IEEE},
volume = {1},
number = {10},
year = {1994},
month = {oct.},
pages = {153 -155},
abstract = {We consider the estimation of various Markov-modulated time series. We obtain maximum likelihood estimates of the time-series parameters including the Markov chain transition probabilities and the time-series coefficients using the expectation maximization (EM) algorithm. In addition, the recursive EM algorithm is used to obtain on-line parameter estimates. Simulation studies show that both algorithms yield satisfactory results},
keywords = {EM algorithm, expectation maximization algorithm, Markov chain transition probabilities, Markov processes, Markov-modulated time-series, maximum likelihood estimates, maximum likelihood estimation, on-line parameter estimates, probability, recursive EM algorithm, signal processing, simulation studies, time series, time-series coefficients, time-series parameters},
issn = {1070-9908},
doi = {10.1109/97.329841},
url = {http://dx.doi.org/10.1109/97.329841},
author = {Dey, S. and Krishnamurthy, V. and Salmon-Legagneur, T.}
}