Discrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processes

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorMalcolm, W. P.eng
dc.date.accessioned2012-06-28T16:02:17Z
dc.date.available2012-06-28T16:02:17Z
dc.date.issued2008
dc.description“© 2007 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.” Doi: 10.1109/TAC.2007.914305 Article deposited according to the policy found on the IEEE website, http://www.ieee.org/publications_standards/publications/rights/rights_policies.html, June 28, 2012.eng
dc.description.abstractIn this paper, we consider parameter estimation Markov-modulated Poisson processes via robust filtering and smoothing techniques. Using the expectation maximization algorithm framework, our filters and smoothers can be applied to estimate the parameters of ourmodel in either an online configuration or an offline configuration. Further, our estimator dynamics do not involve stochastic integrals and our new formulas, in terms of time integrals, are easily discretized, and are written in numerically stable forms inW. P.Malcolm, R. J. Elliott, and J. van der Hoek, “On the numerical stability of time-discretized state estimation via clark transformations,” presented at the IEEE Conf. Decision Control, Mauii, HI, Dec. 2003.eng
dc.description.refereedYeseng
dc.identifier.citationR.J. Elliott and W. P. Malcolm. „Discrete Time Expectation Maximization Algorithms for Markov – Modulated Poisson Processes‟. IEEE Transactions on Automatic Control 53 (2008) 247-256eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34080
dc.identifier.issn0018-9286
dc.identifier.urihttp://hdl.handle.net/1880/49072
dc.language.isoengeng
dc.publisherIEEE Control Systems Societyeng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://ieeexplore.ieee.org/xpl/RecentIssue.jsp?reload=true&punumber=9eng
dc.subjectChange of measureeng
dc.subjectcounting processeseng
dc.subject.otherexpectation maximization (EM) algorithmeng
dc.subject.othermartingaleseng
dc.titleDiscrete-Time Expectation Maximization Algorithms for Markov-Modulated Poisson Processeseng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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