An alternative to the Baum-Welch recursions for hidden Markov models
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References listed on IDEAS
- Francesco Bartolucci, 2002. "A recursive algorithm for Markov random fields," Biometrika, Biometrika Trust, vol. 89(3), pages 724-730, August.
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KeywordsExpectation-Maximization algorithm; forward-backward recursions; latent Markov model; stochastic volatility;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-22 (All new papers)
- NEP-ECM-2012-05-22 (Econometrics)
- NEP-ORE-2012-05-22 (Operations Research)
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