Computing the observed information in the hidden Markov model using the EM algorithm

被引：14

作者：

Hughes, JP ^{[1
]}

机构：

[1] UNIV WASHINGTON,DEPT BIOSTAT,SEATTLE,WA 98195

来源：

STATISTICS & PROBABILITY LETTERS | 1997年 / 32卷 / 01期

关键词：

hidden Markov model; EM algorithm; information;

D O I：

10.1016/S0167-7152(96)00062-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A method of computing the observed information for the hidden Markov model using the EM algorithm and the results of Louis (1982) is described. Generating the ''exact'' information may be computationally intensive for large datasets but an approximation is given which significantly reduces the computational effort in most cases.

引用

页码：107 / 114

页数：8

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