Recursive parameter estimation algorithm of the Dirichlet hidden Markov model

• Published in: Journal of statistical computation and simulation Vol. 90; no. 2; pp. 306 - 323
• Main Authors: Vaičiulytė, Jūratė, Sakalauskas, Leonidas
• Format: Journal Article
• Language: English
• Published: Abingdon Taylor & Francis 22.01.2020; Taylor & Francis Ltd
• Subjects: Algorithms; Clustering; Complexity; Computer simulation; Datasets; Dirichlet distribution; Dirichlet problem; hidden Markov models; likelihood method; Markov analysis; Markov chains; Mathematical models; Maximum likelihood method; Parameter estimation; recursive EM algorithm; Recursive methods

The recursive (online, incremental) estimation of the hidden Markov model (HMM) parameters has become a more popular research subject. The complexity of the recursive methods is linear, and this complexity allows the estimation of parameters in real time. Most of the recursive parameter estimation m...