Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis

DOI10.1017/apr.2018.27OpenAlexW2884060360WikidataQ129456762 ScholiaQ129456762MaRDI QIDQ5215017

Hilmar Mai, Christian Bayer, John G. M. Schoenmakers

Publication date: 5 February 2020

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2018.27

zbMATH Keywords

maximum likelihood estimationMonte Carlo simulationexpectation-maximization algorithmMarkov chain estimationforward-reverse representation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20)

Uses Software

• Bridge.jl

Cites Work

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