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

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dc.creatorBenabdallah, A.
dc.creatorRadons, G.
dc.date2005-11-30
dc.date.accessioned2026-07-07T06:49:39Z
dc.date.available2026-07-07T06:49:39Z
dc.descriptionWe 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.
dc.description15 pages, 3 figures, 2 tables
dc.identifierhttps://arxiv.org/abs/cs/0511108
dc.identifierhttp://arxiv.org/abs/cs/0511108
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/104429
dc.subjectData Structures and Algorithms
dc.subjectMachine Learning
dc.subjectF.2.1; J.2
dc.titleParameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm
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