Recursive estimation in mixture models with Markov regime

• A recursive algorithm is proposed for estimation of parameters in mixture models, where the observations are governed by a hidden Markov chain. The performance of the algorithm is studied by simulations of a symmetric normal mixture. The algorithm seems to be stable and produce approximately normally distributed estimates, provided the adaptive matrix is kept well conditioned.

Subject headings

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Keyword

MIXED DISTRIBUTION

RECURSIVE ML-ESTIMATION

EM-ALGORITHM

MARKOV REGIME

Publication and Content Type

art (subject category)

ref (subject category)