• DocumentCode
    3010113
  • Title

    Robust EM algorithms for Markov modulated Poisson processes

  • Author

    Elliott, R.J. ; Malcolm, W.P.

  • Volume
    5
  • fYear
    2000
  • fDate
    2000
  • Firstpage
    4678
  • Abstract
    We consider robust filtering and smoothing for Markov modulated Poisson processes. Using the EM algorithm, these filters and smoothers can be applied to estimate the parameters of our model. Our dynamics do not involve stochastic integrals and our new formulae, in terms of time integrals, are easily discretized
  • Keywords
    Markov processes; parameter estimation; probability; smoothing methods; Markov modulated Poisson processes; robust EM algorithms; robust expectation algorithms; robust filtering; robust smoothing; time integrals; Filtering; Filters; Parameter estimation; Recursive estimation; Robustness; Signal processing; Signal processing algorithms; Space technology; Stochastic processes; Yttrium;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
  • Conference_Location
    Sydney, NSW
  • ISSN
    0191-2216
  • Print_ISBN
    0-7803-6638-7
  • Type

    conf

  • DOI
    10.1109/CDC.2001.914666
  • Filename
    914666
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3010113