DocumentCode
1011340
Title
On Recursive MMPP Parameter Estimation
Author
Willy, Christopher J. ; Roberts, William J.J. ; Mazzuchi, Thomas A. ; Sarkani, Shahram
Author_Institution
J. F. Taylor, Inc., Lexington Park, MD
Volume
15
fYear
2008
fDate
6/30/1905 12:00:00 AM
Firstpage
883
Lastpage
886
Abstract
Recursive Markov-modulated Poisson process (MMPP) parameter estimation is performed by adapting an approach for hidden Markov model estimation developed by Krishnamurthy and Moore. Explicit expressions are developed for functions used in the recursion. The resulting approach is compared to a recursive MMPP estimation algorithm developed by Lindgren and Holst. Numerical results are provided which demonstrate the applicability of the approach for estimation of interrupted Poisson processes.
Keywords
hidden Markov models; parameter estimation; recursive estimation; stochastic processes; Hoist; Krishnamurthy; Lindgren; Markov-modulated Poisson process; Moore; hidden Markov model estimation; parameter estimation; recursive estimation; Entropy; Finance; Helium; Hidden Markov models; Markov processes; Parameter estimation; Recursive estimation; Signal processing algorithms; Telecommunication traffic; Traffic control; Interrupted Poisson process; matrix exponential derivative;
fLanguage
English
Journal_Title
Signal Processing Letters, IEEE
Publisher
ieee
ISSN
1070-9908
Type
jour
DOI
10.1109/LSP.2008.2007619
Filename
4691036
Link To Document