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Recursive estimation in switching autoregressions with Markov regime

Holst, Ulla LU ; Lindgren, Georg LU ; Holst, Jan LU and Thuvesholmen, Mikael (1994) In Journal of Time Series Analysis 15(5). p.489-506
Abstract
A hidden Markov regime is a Markov process that governs the time or space dependent distributions of an observed stochastic process. We propose a recursive algorithm for parameter estimation in a switching autoregressive process governed by a hidden Markov chain. A common approach to the recursive estimation problem is to base the estimation on suboptimal modifications of Kalman filtering techniques. The main idea in this paper is to use the maximum likelihood method and from this develop a recursive EM algorithm.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Switching autoregressions, Markov regime, recursive estimation, EM algorithm
in
Journal of Time Series Analysis
volume
15
issue
5
pages
489 - 506
publisher
Wiley-Blackwell
external identifiers
  • scopus:84981440741
ISSN
0143-9782
DOI
10.1111/j.1467-9892.1994.tb00206.x
language
English
LU publication?
yes
id
bcaed6b0-a7e0-4417-8905-909fef2546c1 (old id 1210468)
alternative location
http://www3.interscience.wiley.com/cgi-bin/fulltext/119836826/PDFSTART
date added to LUP
2008-09-16 16:04:16
date last changed
2017-03-15 13:26:57
@article{bcaed6b0-a7e0-4417-8905-909fef2546c1,
  abstract     = {A hidden Markov regime is a Markov process that governs the time or space dependent distributions of an observed stochastic process. We propose a recursive algorithm for parameter estimation in a switching autoregressive process governed by a hidden Markov chain. A common approach to the recursive estimation problem is to base the estimation on suboptimal modifications of Kalman filtering techniques. The main idea in this paper is to use the maximum likelihood method and from this develop a recursive EM algorithm.},
  author       = {Holst, Ulla and Lindgren, Georg and Holst, Jan and Thuvesholmen, Mikael},
  issn         = {0143-9782},
  keyword      = {Switching autoregressions,Markov regime,recursive estimation,EM algorithm},
  language     = {eng},
  number       = {5},
  pages        = {489--506},
  publisher    = {Wiley-Blackwell},
  series       = {Journal of Time Series Analysis},
  title        = {Recursive estimation in switching autoregressions with Markov regime},
  url          = {http://dx.doi.org/10.1111/j.1467-9892.1994.tb00206.x},
  volume       = {15},
  year         = {1994},
}