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Dey, Subhrakanti, 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: | 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 |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/14401 |
| 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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