Explicit forward recursive estimators for Markov modulated Markov processes

DOI10.1080/15326349.2012.699750MaRDI QIDQ3167891zbMATH OpenOpenAlexFDO

Authors Yariv Ephraim, Brian L. Mark

Publication date 29 October 2012

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2012.699750

zbMATH Keywords

Markov modulated processrecursive estimation

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Sequential estimation (62L12) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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• An EM algorithm for estimation in Markov-modulated Poisson processes
• An EM Algorithm for Markov Modulated Markov Processes
• Computing integrals involving the matrix exponential
• Continuous-time Markov chains in a random environment, with applications to ion channel modelling
• Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes
• Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process
• Hidden Markov processes
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• On the Calculation of Mutual Information
• On the optimal filtering of diffusion processes
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Prediction and smoothing for partially observed Markov chains
• Probability and random processes.
• State estimation for partially observed Markov chains
• The modeling of randomly modulated jump processes

Cited in

(4)

• Recursions for the MMPP score vector and observed information matrix
• An Exact Gibbs Sampler for the Markov-Modulated Poisson Process
• Consistency of Maximum Likelihood Parameter Estimation for Bivariate Markov Chains
• Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis

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