Title :
Robust EM algorithms for Markov modulated Poisson processes
Author :
Elliott, R.J. ; Malcolm, W.P.
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;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2001.914666
