The Baum--Welch algorithm for parameter estimation of Gaussian autoregressive mixture models
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Publication:1600578
DOI10.1023/A:1011342715567zbMath1003.62068MaRDI QIDQ1600578
Publication date: 16 June 2002
Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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