Time discretization of continuous-time filters and smoothers for HMM parameter estimation

  title={Time discretization of continuous-time filters and smoothers for HMM parameter estimation},
  author={Matthew R. James and Vikram Krishnamurthy and François Le Gland},
  journal={IEEE Trans. Inf. Theory},
In this paper we propose algorithms for parameter estimation of fast-sampled homogeneous Markov chains observed in white Gaussian noise. Our algorithms are obtained by the robust discretization of stochastic differential equations involved in the estimation of continuous-time hidden Markov models (HMM's) via the EM algorithm. We present two algorithms: the first is based on the robust discretization of continuous-time filters that were recently obtained by Elliott to estimate quantities used in… 

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