EM algorithm for stochastic hybrid systems

DOI10.1007/S11203-020-09231-3zbMATH Open1469.62350arXiv2003.08544OpenAlexW3118999549MaRDI QIDQ2040945FDOQ2040945

Authors: Masaaki Fukasawa 

Publication date: 15 July 2021

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

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.

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

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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)

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Cited In (3)

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

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