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On Ryden's EM algorithm for estimating MMPPs

delete2006-06-01
delete30
PRE
AI
R
Roberts, WJJ *
E
Ephraim, Y
D
Dieguez, E
DOI:10.1109/LSP.2006.871709delete
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摘要

摘要

En 中文
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.
Keyword:
expectation-maximization (EM) algorithm
Markov-modulated Poisson process
maximum likelihood estimation
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期刊

IEEE Signal Processing Magazine 封面图
IEEE Signal Processing Magazine
IF:
9.6
论文数:
1.1W
被引数:
1.7W

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