Recursive estimation in mixture models with Markov regime
Holst, Ulla LU and Lindgren, Georg LU
(1991)
In IEEE Transactions on Information Theory
37(6).
p.1683-1690
- Abstract
- A recursive algorithm is proposed for estimation of parameters in mixture models, where the observations are governed by a hidden Markov chain. The performance of the algorithm is studied by simulations of a symmetric normal mixture. The algorithm seems to be stable and produce approximately normally distributed estimates, provided the adaptive matrix is kept well conditioned.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1210486
- author
- Holst, Ulla
LU
and Lindgren, Georg
LU
- organization
- publishing date
- 1991
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- MIXED DISTRIBUTION, RECURSIVE ML-ESTIMATION, EM-ALGORITHM, MARKOV REGIME
- in
- IEEE Transactions on Information Theory
- volume
- 37
- issue
- 6
- pages
- 1683 - 1690
- publisher
- IEEE - Institute of Electrical and Electronics Engineers Inc.
- external identifiers
-
- scopus:0000825278
- ISSN
- 0018-9448
- language
- English
- LU publication?
- yes
- id
- 372a50c1-89d4-4a41-9175-e69ad79fa487 (old id 1210486)
- alternative location
- http://ieeexplore.ieee.org/search/wrapper.jsp?arnumber=104334
- date added to LUP
- 2016-04-01 15:51:56
- date last changed
- 2021-01-03 07:26:37
@article{372a50c1-89d4-4a41-9175-e69ad79fa487,
abstract = {{A recursive algorithm is proposed for estimation of parameters in mixture models, where the observations are governed by a hidden Markov chain. The performance of the algorithm is studied by simulations of a symmetric normal mixture. The algorithm seems to be stable and produce approximately normally distributed estimates, provided the adaptive matrix is kept well conditioned.}},
author = {{Holst, Ulla and Lindgren, Georg}},
issn = {{0018-9448}},
keywords = {{MIXED DISTRIBUTION; RECURSIVE ML-ESTIMATION; EM-ALGORITHM; MARKOV REGIME}},
language = {{eng}},
number = {{6}},
pages = {{1683--1690}},
publisher = {{IEEE - Institute of Electrical and Electronics Engineers Inc.}},
series = {{IEEE Transactions on Information Theory}},
title = {{Recursive estimation in mixture models with Markov regime}},
url = {{http://ieeexplore.ieee.org/search/wrapper.jsp?arnumber=104334}},
volume = {{37}},
year = {{1991}},
}