Estimation of Markov-modulated time-series via EM algorithm

TitleEstimation of Markov-modulated time-series via EM algorithm
Publication TypeJournal Article
Year of Publication1994
AuthorsDey, S., V. Krishnamurthy, and T. Salmon-Legagneur
JournalSignal Processing Letters, IEEE
Pagination153 -155
Date Publishedoct.
KeywordsEM 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

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


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