Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime

DOI10.1109/18.979322zbMATH Open1071.62502OpenAlexW2124458906MaRDI QIDQ4544800FDOQ4544800

Vikram Krishnamurthy, George Yin

Publication date: 4 August 2002

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.979322

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Mathematics Subject Classification ID

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

Cited In (14)

• Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching
• Learning hidden Markov models for linear Gaussian systems with applications to event-based state estimation
• An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems
• Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models
• How does a stochastic optimization/approximation algorithm adapt to a randomly evolving optimum/root with jump Markov sample paths
• A proof of consistency of the MLE for nonlinear Markov-switching AR processes
• Parameter estimation in a condition-based maintenance model
• Robust identification of linear ARX models with recursive EM algorithm based on Student's t-distribution
• Online identification of time‐delay jump Markov autoregressive exogenous systems with recursive expectation‐maximization algorithm
• Fast array algorithm for filtering of Markovian jump linear systems
• Penalized estimate of the number of states in Gaussian linear AR with Markov regime
• Parameter estimation for partially observable systems subject to random failure
• Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME

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