Online EM algorithm for jump Markov systems
2012 (English)In: 15th International Conference on Information Fusion (FUSION), 2012, 2012, 1941-1946 p.Conference paper (Refereed)
The Expectation-Maximization (EM) algorithm in combination with particle filters is a powerful tool that can solve very complex problems, such as parameter estimation in general nonlinear non-Gaussian state space models. We here apply the recently proposed online EM algorithm to parameter estimation in jump Markov models, that contain both continuous and discrete states. In particular, we focus on estimating process and measurement noise distributions being modeled as mixtures of members from the exponential family.
Place, publisher, year, edition, pages
2012. 1941-1946 p.
IdentifiersURN: urn:nbn:se:liu:diva-121625ISBN: 978-1-4673-0417-7 (Print)ISBN: 978-0-9824438-4-2 (E-ISBN)OAI: oai:DiVA.org:liu-121625DiVA: diva2:857375
15th International Conference on Information Fusion (FUSION), Singapore, July 9-12 2012
FunderLinnaeus research environment CADICS