Recursive estimation in mixture models with Markov regime

DOI10.1109/18.104334MaRDI QIDQ3987468zbMATH OpenOpenAlexFDO

Authors Ulla Holst, Georg Lindgren

Publication date 28 June 1992

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

Full work available at URL https://doi.org/10.1109/18.104334

zbMATH Keywords

approximately normally distributed estimatesEM-algorithmhidden Markov chainmaximum likelihoodmixture modelsrecursive algorithmrecursive ML-estimationsimulations of symmetric normal mixtures

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Recommendations

• Recursive estimation of high-order Markov chains: approximation by finite mixtures
• Estimation for mixtures of Markov processes.
• scientific article; zbMATH DE number 3896107
• Recursive estimation of multivariate hidden Markov model parameters
• Semiparametric inference in mixture models with predictive recursion marginal likelihood
• Nonparametric recursive estimation in stationary markov processes
• scientific article; zbMATH DE number 4211323
• On recursive estimation for hidden Markov models

Cited in

(23)

• Mixture estimation with state-space components and Markov model of switching
• Bayesian estimation of dynamic finite mixtures
• On recursive estimation for hidden Markov models
• Parameter estimation: Known vector signals in unknown Gaussian noise
• Recursive estimation of high-order Markov chains: approximation by finite mixtures
• Estimation for mixtures of Markov processes.
• Algorithms and programs of dynamic mixture estimation. Unified approach to different types of components
• Recursive estimation of multivariate hidden Markov model parameters
• Recursions for the MMPP score vector and observed information matrix
• Approximate Bayesian inference for simple mixtures
• Estimation in nonlinear regression with Harris recurrent Markov chains
• Recursive estimators with Markovian jumps
• scientific article; zbMATH DE number 3945181 (Why is no real title available?)
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime
• On-line parameter estimation for a failure-prone system subject to condition monitoring
• Estimating the Order of Hidden Markov Models
• Recursive online EM estimation of mixture autoregressions
• On Recursive Estimation in Incomplete Data Models
• Regularized estimation of mixed spectra using a circular Gibbs-Markov model
• Asymptotically efficient recursive estimation for incomplete data models using the observed information.
• Consistency of a recursive estimate of mixing distributions
• Almost sure convergence of Titterington's recursive estimator for mixture models

This page was built for publication: Recursive estimation in mixture models with Markov regime

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3987468)