Robust EM algorithms for Markov modulated Poisson processes

descriptionPublicationkeyboard_double_arrow_right Article , Conference object 13 Nov 2002Publisher:IEEEJournal:Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187), volume 5, pages 4,678-4,685

Authors: Robert J. Elliott; W. Paul Malcolm;

doi: 10.1109/cdc.2001.914666

Robust EM algorithms for Markov modulated Poisson processes

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Abstract

We consider robust filtering and smoothing for Markov modulated Poisson processes. Using the EM algorithm, these filters and smoothers can be applied to estimate the parameters of our model. Our dynamics do not involve stochastic integrals and our new formulae, in terms of time integrals, are easily discretized.

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