EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies
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DOI: 10.1515/strm-2017-0021
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- Dembo, A. & Zeitouni, O., 1986. "Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 91-113, October.
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Cited by:
- Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Rating transitions forecasting: a filtering approach," Post-Print hal-03347521, HAL.
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More about this item
Keywords
Expectation maximization (EM) algorithm; hidden Markov models; point processes; nonlinear filtering; goodness-of-fit tests; credit risk ratings; 60G35; 62P05;All these keywords.
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