Iterative and recursive estimators for hidden Markov errors-in-variables models

In this paper we propose maximum-likelihood (ML) estimation of errors in variables models with finite-state Markovian disturbances. Such models have applications in econometrics, speech processing, communication systems, and neurobiological signal processing. We derive the maximum likelihood (ML) model estimates using the expectation maximization (EM) algorithm. Then two recursive or “on-line” estimation schemes are derived for estimating such models. The first on-line algorithm is based on the EM algorithm and uses stochastic approximations to maximize the Kullback-Leibler (KL) information measure. The second on-line algorithm we propose is a gradient-based scheme and uses stochastic approximations to maximize the log likelihood