Time discretization of continuous-time filters and smoothers for HMM parameter estimation

DOI10.1109/18.485727zbMath0852.62077OpenAlexW2122605921MaRDI QIDQ4885688

Vikram Krishnamurthy, François Le Gland, Matthew R. James

Publication date: 12 November 1996

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/bfaa92429915abb1092bee4ec534949f3d6eea68

zbMATH Keywords

algorithmssimulationsexpectation maximization algorithmwhite Gaussian noiserobust discretizationBaum-Welch re-estimation equationscontinuous-time hidden Markov modelsdiscretization of continuous-time smoothersfast-sampled homogeneous Markov chainsfilter-based EM algorithmrobust discretization of continuous-time filterssmoother-based discrete-time EM algorithmtwo-sided stochastic integrals

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Statistical aspects of information-theoretic topics (62B10)

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