RECURSIVE ESTIMATION IN MIXTURE-MODELS WITH MARKOV REGIME

被引：23

作者：

HOLST, U

LINDGREN, G

机构：

[1] Department of Mathematical Statistics, University of Lund, Lund, S-221 00

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 1991年 / 37卷 / 06期

关键词：

MIXED DISTRIBUTION; RECURSIVE ML-ESTIMATION; EM-ALGORITHM; MARKOV REGIME;

D O I：

10.1109/18.104334

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：1683 / 1690

页数：8

共 11 条

[1] A MAXIMIZATION TECHNIQUE OCCURRING IN STATISTICAL ANALYSIS OF PROBABILISTIC FUNCTIONS OF MARKOV CHAINS [J].