Maximum Likelihood Estimation of Transition Probabilities of Jump Markov Linear Systems

DOI10.1109/TSP.2008.928936MaRDI QIDQ4569147zbMATH OpenOpenAlexFDO

Authors Umut Orguner, Mubeccel Demirekler

Publication date 27 June 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2008.928936

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• Parameter estimation for jump Markov linear systems
• Bayesian estimation for jump Markov linear systems with non-homogeneous transition probabilities
• Expectation maximization algorithms for MAP estimation of jump Markov linear systems
• Maximum likelihood state estimation for Markov jump systems with uncertain mode-dependent delays
• On maximum likelihood estimates of parameters of partially observed Markov systems
• scientific article; zbMATH DE number 1969642
• An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems
• scientific article; zbMATH DE number 4169798
• Recursive Maximum Likelihood Identification of Jump Markov Nonlinear Systems
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES

Cited in

(6)

• Online identification of time-delay jump Markov autoregressive exogenous systems with recursive expectation-maximization algorithm
• Recursive estimation for Markov jump linear systems with unknown transition probabilities: a compensation approach
• An adaptive risk-sensitive filtering method for Markov jump linear systems with uncertain parameters
• scientific article; zbMATH DE number 4169798 (Why is no real title available?)
• Identification of jump Markov autoregressive exogenous systems with missing measurements
• Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise

This page was built for publication: Maximum Likelihood Estimation of Transition Probabilities of Jump Markov Linear Systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4569147)