An EM algorithm for estimation in Markov-modulated Poisson processes

DOI10.1016/0167-9473(95)00025-9zbMath0875.62405OpenAlexW2056835570MaRDI QIDQ672068

Tobias Rydén

Publication date: 27 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(95)00025-9

zbMATH Keywords

EM algorithmMarkov-modulated Poisson processMaximum-likelihood estimate

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Probabilistic methods, stochastic differential equations (65C99)

Related Items

An EM algorithm for continuous-time bivariate Markov chains ⋮ An \textit{EM} algorithm for the model fitting of Markovian binary trees ⋮ Mining periodic patterns and cascading bursts phenomenon in individual e-mail communication ⋮ Explicit Forward Recursive Estimators for Markov Modulated Markov Processes ⋮ Exact and approximate hidden Markov chain filters based on discrete observations ⋮ A micro-level claim count model with overdispersion and reporting delays ⋮ A joint model for multistate disease processes and random informative observation times, with applications to electronic medical records data ⋮ Filters for estimating Markov modulated Poisson processes and image-based tracking ⋮ Exact Filtering for Partially Observed Continuous Time Models ⋮ Discrete- and Continuous-Time Probabilistic Models and Algorithms for Inferring Neuronal UP and DOWN States ⋮ Bayesian latent multi‐state modeling for nonequidistant longitudinal electronic health records ⋮ Markov modulated Poisson process associated with state-dependent marks and its applications to the deep earthquakes ⋮ Markov-modulated Hawkes process with stepwise decay ⋮ Queues with dropping functions and autocorrelated arrivals ⋮ A unified method of analysis for queues with Markovian arrivals ⋮ QBD Markov chains on binomial-like trees and its application to multilevel feedback queues ⋮ A continuous-time HMM approach to modeling the magnitude-frequency distribution of earthquakes ⋮ Estimating the parameters of a seasonal Markov-modulated Poisson process ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process ⋮ Goodness-of-fit tests and nonparametric adaptive estimation for spike train analysis ⋮ Fitting procedure for the two-state batch Markov modulated Poisson process ⋮ An EM algorithm for platoon arrival processes in discrete time ⋮ Consistency of Maximum Likelihood Parameter Estimation for Bivariate Markov Chains ⋮ Nonidentifiability of the Two-State Markovian Arrival Process ⋮ Hidden Markov Chain Filtering for a Jump Diffusion Model ⋮ Filtering and the EM-Algorithm for the Markovian Arrival Process ⋮ Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework ⋮ Estimation of the parameters of a Markov-modulated loss process in insurance ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ Recursive filters for partially observable finite Markov chains ⋮ Risk processes analyzed as fluid queues ⋮ Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains ⋮ Parameter estimation for a discretely observed population process under Markov-modulation ⋮ Fitting bivariate losses with phase-type distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A fitting algorithm for Markov-modulated Poisson processes having two arrival rates
• Recursive estimation of parameters in Markov-modulated Poisson processes
• An iterative method for solution of the likelihood equations for incomplete data from exponential families
• The Markov-modulated Poisson process (MMPP) cookbook
• Parameter estimation for Markov modulated poisson processes
• On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions
• An Introduction to the Application of the Theory of Probabilistic Functions of a Markov Process to Automatic Speech Recognition
• An inequality with applications to statistical estimation for probabilistic functions of Markov processes and to a model for ecology
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• THE SOJOURN TIME DISTRIBUTION OF AN ALTERNATING RENEWAL PROCESS

This page was built for publication: An EM algorithm for estimation in Markov-modulated Poisson processes