Recursive estimation in switching autoregressions with Markov regime
(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:
https://lup.lub.lu.se/record/1210468
- author
- Holst, Ulla LU ; Lindgren, Georg LU ; Holst, Jan LU and Thuvesholmen, Mikael
- organization
- publishing date
- 1994
- 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
- 2016-04-01 12:12:42
- date last changed
- 2021-10-03 03:12:14
@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}}, keywords = {{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}}, doi = {{10.1111/j.1467-9892.1994.tb00206.x}}, volume = {{15}}, year = {{1994}}, }