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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.
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author
organization
publishing date
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
2008-08-14 13:42:41
date last changed
2017-03-15 13:26:59
@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},
  keyword      = {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},
  volume       = {37},
  year         = {1991},
}