Forward-reverse EM algorithm for Markov chains
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1907 | |
| dc.contributor.author | Bayer, Christian | |
| dc.contributor.author | Mai, Hilmar | |
| dc.contributor.author | Schoenmakers, John G.M. | |
| dc.date.accessioned | 2016-03-24T17:37:14Z | |
| dc.date.available | 2019-06-28T08:15:38Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | We develop an EM algorithm for estimating parameters that determine the dynamics of a discrete time Markov chain evolving through a certain measurable state space. As a key tool for the construction of the EM method we develop forward-reverse representations for Markov chains conditioned on a certain terminal state. These representations may be considered as an extension of the earlier work [1] on conditional diffusions. We present several experiments and consider the convergence of the new EM algorithm. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/2385 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3034 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | Forward-reverse representations | eng |
| dc.subject.other | EM algorithm | eng |
| dc.subject.other | Monte Carlo simulation | eng |
| dc.subject.other | maximum likelihood estimation | eng |
| dc.subject.other | Markov chain estimation | eng |
| dc.title | Forward-reverse EM algorithm for Markov chains | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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