An EM Algorithm for Markov Modulated Markov Processes

DOI10.1109/TSP.2008.2007919MaRDI QIDQ4571542zbMATH OpenOpenAlexFDO

Authors Yariv Ephraim, W. Roberts

Publication date 9 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2008.2007919

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on discrete state spaces (60J27)

Cited in

(11)

• Parameter estimation for a \(k\)-out-of-\(n\): F system
• An \textit{EM} algorithm for the model fitting of Markovian binary trees
• Recovering Markov models from closed-loop data
• Parameter estimation for a discretely observed population process under Markov-modulation
• Explicit forward recursive estimators for Markov modulated Markov processes
• Bayesian multiple changepoints detection for Markov jump processes
• Several topological indices of two kinds of tetrahedral networks
• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
• Recursions for the MMPP score vector and observed information matrix
• An EM algorithm for continuous-time bivariate Markov chains
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis

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