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https://hdl.handle.net/2440/54173
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Type: | Journal article |
Title: | Discrete-time expectation maximization algorithms for Markov-modulated poisson processes |
Author: | Elliott, R. Malcolm, W. |
Citation: | IEEE Transactions on Automatic Control, 2008; 53(2):247-256 |
Publisher: | IEEE-Inst Electrical Electronics Engineers Inc |
Issue Date: | 2008 |
ISSN: | 0018-9286 |
Statement of Responsibility: | Elliott, R.J. and Malcolm, W.P. |
Abstract: | In this paper, we consider parameter estimation Markov-modulated Poisson processes via robust filtering and smoothing techniques. Using the expectation maximization algorithm framework, our filters and smoothers can be applied to estimate the parameters of our model in either an online configuration or an offline configuration. Further, our estimator dynamics do not involve stochastic integrals and our new formulas, in terms of time integrals, are easily discretized, and are written in numerically stable forms in W. P. Malcolm, R. J. Elliott, and J. van der Hoek, ldquoOn the numerical stability of time-discretized state estimation via clark transformations,rdquo presented at the IEEE Conf. Decision Control, Mauii, HI, Dec. 2003. |
Keywords: | Change of measure counting processes expectation maximization (EM) algorithm martingales |
DOI: | 10.1109/TAC.2007.914305 |
Published version: | http://dx.doi.org/10.1109/tac.2007.914305 |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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