An EM algorithm for continuous-time bivariate Markov chains
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DOI: 10.1016/j.csda.2012.07.017
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References listed on IDEAS
- Robert B. Israel & Jeffrey S. Rosenthal & Jason Z. Wei, 2001. "Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 245-265, April.
- Lothar Breuer, 2002. "An EM Algorithm for Batch Markovian Arrival Processes and its Comparison to a Simpler Estimation Procedure," Annals of Operations Research, Springer, vol. 112(1), pages 123-138, April.
- Erhan Çinlar, 1975. "Exceptional Paper--Markov Renewal Theory: A Survey," Management Science, INFORMS, vol. 21(7), pages 727-752, March.
- Leroux, Brian G., 1992. "Maximum-likelihood estimation for hidden Markov models," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 127-143, February.
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Keywords
Parameter estimation; EM algorithm; Continuous-time bivariate Markov chain; Markov modulated processes;All these keywords.
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