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Estimating rate constants in hidden Markov models by the EM algorithm

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2 Author(s)
Michalek, S. ; Center for Data Anal. & Modeling, Freiburg Univ., Germany ; Timmer, J.

The EM algorithm, e.g., the Baum-Welch (1970) re-estimation, is an important tool for parameter estimation in discrete-time hidden Markov models. We present a direct re-estimation of rate constants for applications in which the underlying Markov process is continuous in time. Previous estimation of discrete-time transition probabilities is not necessary

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Signal Processing, IEEE Transactions on  (Volume:47 ,  Issue: 1 )