EM algorithm for stochastic hybrid systems

DOI10.1007/S11203-020-09231-3zbMATH Open1469.62350OpenAlexW3118999549MaRDI QIDQ2040945FDOQ2040945

Authors Masaaki Fukasawa

Publication date 15 July 2021

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.08544

zbMATH Keywords

filteringpartial observationstochastic hybrid system

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Optimal stochastic control (93E20)

Abstract: A stochastic hybrid system, also known as a switching diffusion, is a continuous-time Markov process with state space consisting of discrete and continuous parts. We consider parametric estimation of theQmatrix for the discrete state transitions and of the drift coefficient for the diffusion part. First, we derive the likelihood function under the complete observation of a sample path in continuous-time. Then, extending a finite-dimensional filter for hidden Markov models developed by Elliott et al. (Hidden Markov Models, Springer, 1995) to stochastic hybrid systems, we derive the likelihood function and the EM algorithm under a partial observation where the continuous state is monitored continuously in time, while the discrete state is unobserved.

Recommendations

• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Time discretization of continuous-time filters and smoothers for HMM parameter estimation
• Parameter estimation for partially observed nonlinear nonhomogeneous stochastic system
• Bayesian filtering of stochastic hybrid systems in discrete-time and interacting multiple model
• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm

Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 1546925 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• A model for stochastic hybrid systems with application to communication networks
• Diffusion processes associated with L�vy generators
• Ergodic Control of Switching Diffusions
• Fundamentals of stochastic filtering
• Hidden Markov models in finance. Further developments and applications. Volume II
• Hybrid switching diffusions. Properties and applications
• On the convergence properties of the EM algorithm
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stability analysis for stochastic hybrid systems: a survey

Cited in

(3)

• Spectral Bayesian estimation for general stochastic hybrid systems
• Hybrid estimation algorithms. II
• Hybrid Systems: Computation and Control

This page was built for publication: EM algorithm for stochastic hybrid systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2040945)