Maximum likelihood estimation for multivariate mixture observations of markov chains.
Biing-Hwang JuangStephen E. LevinsonM. Mohan SondhiPublished in: IEEE Trans. Inf. Theory (1986)
Keyphrases
- markov chain
- maximum likelihood estimation
- multivariate gaussian
- expectation maximization
- maximum likelihood
- em algorithm
- mixture of gaussians
- steady state
- monte carlo method
- parameter estimation
- transition probabilities
- finite state
- markov process
- random walk
- stationary distribution
- state space
- markov model
- transition matrix
- probability distribution
- mixture model
- probabilistic automata
- markov processes
- covariance matrix
- gibbs sampling
- gaussian distribution
- probability density
- gaussian mixture model
- markov chain monte carlo
- data mining
- probability density function
- nearest neighbor
- dynamic programming