The Baum-Welch algorithm with limiting distribution constraints

DOI10.1016/J.ORL.2018.08.008MaRDI QIDQ2294238zbMATH OpenOpenAlexFDO

Authors Daniel Steeneck, Fredrik Eng-Larsson

Publication date 10 February 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2018.08.008

zbMATH Keywords

parameter estimationmachine learninghidden Markov model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Bioinformatics. The machine learning approach.
• Hidden Markov models in finance
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains

Cited in

(5)

• Initial model selection for the Baum-Welch algorithm applied to credit scoring
• The Baum--Welch algorithm for parameter estimation of Gaussian autoregressive mixture models
• Generalized Baum-Welch and Viterbi algorithms based on the direct dependency among observations
• Statistical and computational guarantees for the Baum-Welch algorithm
• scientific article; zbMATH DE number 1928773 (Why is no real title available?)

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