Dey, Subhrakanti and Krishnamurthy, Vikram and Salmon-Legagneur, T. (1994) Estimation of Markov-Modulated Time-Series via EM Algorithm. IEEE Signal Processing Letters, 1 (10). pp. 153-155. ISSN 1558-2361

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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.

Item Type:	Article
Keywords:	Estimation; Markov; modulated; time-series; EM algorithm;
Academic Unit:	Faculty of Science and Engineering > Electronic Engineering Faculty of Science and Engineering > Research Institutes > Hamilton Institute
Item ID:	14401
Identification Number:	https://doi.org/10.1109/97.329841
Depositing User:	Subhrakanti Dey
Date Deposited:	10 May 2021 13:43
Journal or Publication Title:	IEEE Signal Processing Letters
Publisher:	IEEE
Refereed:	Yes
URI:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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