Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes

In this paper, we consider parameter estimation Markov-modulated Poisson processes via robust filtering and smoothing techniques. Using the expectation maximization algorithm framework, our filters and smoothers can be applied to estimate the parameters of our model in either an online configuration...

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Bibliographic Details
Published in:	IEEE transactions on automatic control Vol. 53; no. 1; pp. 247 - 256
Main Authors:	Elliott, R.J., Malcolm, W.P.
Format:	Journal Article
Language:	English
Published:	New York IEEE 01.02.2008 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Algorithms Australia Council Change of measure Communications technology counting processes Estimators expectation maximization (EM) algorithm Filtering Filters Integrals martingales Mathematical models Maximization On-line systems Parameter estimation Recursive estimation Robustness Signal processing Signal processing algorithms State estimation Stochastic processes
ISSN:	0018-9286, 1558-2523
Online Access:	Get full text
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