Recursive estimation in switching autoregressions with Markov regime

Summary, in English

A hidden Markov regime is a Markov process that governs the time or space dependent distributions of an observed stochastic process. We propose a recursive algorithm for parameter estimation in a switching autoregressive process governed by a hidden Markov chain. A common approach to the recursive estimation problem is to base the estimation on suboptimal modifications of Kalman filtering techniques. The main idea in this paper is to use the maximum likelihood method and from this develop a recursive EM algorithm.

• Författare: Ulla Holst; Georg Lindgren; Jan Holst; Mikael Thuvesholmen
• Avdelning/ar: Matematisk statistik; Spatio-Temporal Stochastic Modelling Group
• Publiceringsår: 1994
• Språk: Engelska
• Sidor: 489-506
• Publikation/Tidskrift/Serie: Journal of Time Series Analysis
• Volym: 15
• Issue: 5
• Länkar: http://www3.interscience.wiley.com/cgi-bin/fulltext/119836826/PDFSTART; http://dx.doi.org/10.1111/j.1467-9892.1994.tb00206.x
• Dokumenttyp: Artikel i tidskrift
• Förlag: Wiley-Blackwell
• Ämne: Probability Theory and Statistics
• Nyckelord: Switching autoregressions; Markov regime; recursive estimation; EM algorithm
• Status: Published
• Forskningsgrupp: Spatio-Temporal Stochastic Modelling Group
• ISBN/ISSN/Övrigt: ISSN: 0143-9782