Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
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Publication:5215017
DOI10.1017/apr.2018.27MaRDI QIDQ5215017
Hilmar Mai, Christian Bayer, John G. M. Schoenmakers
Publication date: 5 February 2020
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2018.27
maximum likelihood estimation; Monte Carlo simulation; expectation-maximization algorithm; Markov chain estimation; forward-reverse representation
65C05: Monte Carlo methods
65J20: Numerical solutions of ill-posed problems in abstract spaces; regularization
Uses Software