Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm

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We propose a new method for the estimation of parameters of hidden diffusion processes. Based on parametrization of the transition matrix, the Baum-Welch algorithm is improved. The algorithm is compared to the particle filter in application to the noisy periodic systems. It is shown that the modified Baum-Welch algorithm is capable of estimating the system parameters with better accuracy than particle filters.
15 pages, 3 figures, 2 tables

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Data Structures and Algorithms, Machine Learning, F.2.1; J.2

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http://salesiana.dossiersoluciones.com/handle/123456789/104429

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cs/0511108
 http://arxiv.org/abs/cs/0511108

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arXiv