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
fDate :
6/30/1905 12:00:00 AM
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;
Journal_Title :
Signal Processing Letters, IEEE
DOI :
10.1109/LSP.2008.2007619
