On Ryde´n´s EM algorithm for estimating MMPPs

Author

Roberts, William J.J. ; Ephraim, Yariv ; Dieguez, Elvis

Author_Institution

Atlantic Coast Technol. Inc, Silver Spring, MD, USA

Volume

13

Issue

6

fYear

2006

fDate

6/1/2006 12:00:00 AM

Firstpage

373

Lastpage

376

Abstract

Two aspects of Ryden´s expectation-maximization algorithm for estimating the parameter of a Markov modulated Poisson process are addressed. First, a scaling procedure is developed for the forward-backward recursions that circumvents the need for customized floating-point software. Second, evaluation of integrals of matrix exponentials is facilitated by applying a result due to Van Loan. For an MMPP of order four, a speedup of over two orders of magnitude was observed.

Keywords

Markov processes; expectation-maximisation algorithm; matrix algebra; modulation; recursive estimation; MMPP; Markov modulated Poisson process; Ryden expectation-maximization algorithm; floating-point software; forward-backward recursions; matrix exponential; maximum likelihood estimation; parameter estimation; scaling procedure; Application software; Computer networks; Control theory; Expectation-maximization algorithms; Finance; Maximum likelihood estimation; Parameter estimation; Recursive estimation; Signal processing algorithms; State estimation; Expectation-maximization (EM) algorithm; Markov-modulated Poisson process; maximum likelihood estimation;

fLanguage

English

Journal_Title

Signal Processing Letters, IEEE

Publisher

ieee

ISSN

1070-9908

Type

jour

DOI

10.1109/LSP.2006.871709

Filename

1632071