Parameter estimation of Gaussian hidden Markov models when missing observations occur

zbMath1034.62070MaRDI QIDQ1425820

Luigi Spezia, Roberta Paroli

Publication date: 18 March 2004

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

Markov chains; EM algorithm; maximum likelihood estimators; discrete-time stochastic processes; Geyser data

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

62M05: Markov processes: estimation; hidden Markov models