Parameter estimation of Gaussian hidden Markov models when missing observations occur

zbMath1034.62070MaRDI QIDQ1425820

Roberta Paroli, Luigi Spezia

Publication date: 18 March 2004

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

Markov chainsEM algorithmmaximum likelihood estimatorsdiscrete-time stochastic processesGeyser data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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