On-line estimation of hidden Markov model parameters based on the Kullback-Leibler information measure

@article{Krishnamurthy1993OnlineEO,
  title={On-line estimation of hidden Markov model parameters based on the Kullback-Leibler information measure},
  author={Vikram Krishnamurthy and John B. Moore},
  journal={IEEE Trans. Signal Processing},
  year={1993},
  volume={41},
  pages={2557-2573}
}
In this paper, sequential or “on-line” hidden Markov model (HMM) signal processing schemes are derived and their performance illustrated in simulation studies. The on-line algorithms are sequential expectation maximization (EM) schemes and are derived by using stochastic approximations to maximize the Kullback-Leibler information measure. The whemes can be implemented either as filters or fixed-lag or .wtooth-lag smoothers. They yield estimates of the HMM pa;meters including transition… CONTINUE READING
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