Recursive estimation in hidden Markov models

• Published in: Proceedings of the 36th IEEE Conference on Decision and Control Vol. 4; pp. 3468 - 3473 vol.4
• Main Authors: LeGland, F., Mevel, L.
• Format: Conference Proceeding
• Language: English
• Published: IEEE 1997
• Subjects: Convergence; Covariance matrix; Electronic mail; Filters; H infinity control; Hidden Markov models; Least squares approximation; Maximum likelihood estimation; Probability distribution; Recursive estimation
• ISBN: 0780341872; 9780780341876
• ISSN: 0191-2216
• DOI: 10.1109/CDC.1997.652384

We consider a hidden Markov model (HMM) with multidimensional observations, and where the coefficients (transition probability matrix, and observation conditional densities) depend on some unknown parameter. We study the asymptotic behaviour of two recursive estimators, the recursive maximum likelih...