Estimation of Markov-modulated time-series via EM algorithm
- 1 October 1994
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Signal Processing Letters
- Vol. 1 (10), 153-155
- https://doi.org/10.1109/97.329841
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
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