Time discretization of continuous-time filters and smoothers for HMM parameter estimation (Q4885688)
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scientific article; zbMATH DE number 910555
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| English | Time discretization of continuous-time filters and smoothers for HMM parameter estimation |
scientific article; zbMATH DE number 910555 |
Statements
Time discretization of continuous-time filters and smoothers for HMM parameter estimation (English)
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12 November 1996
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robust discretization
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expectation maximization algorithm
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continuous-time hidden Markov models
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algorithms
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fast-sampled homogeneous Markov chains
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white Gaussian noise
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robust discretization of continuous-time filters
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discretization of continuous-time smoothers
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Baum-Welch re-estimation equations
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two-sided stochastic integrals
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filter-based EM algorithm
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smoother-based discrete-time EM algorithm
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simulations
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0.8593536615371704
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0.8235726356506348
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