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Recursive computation of the score and observed information matrix in hidden markov models

https://doi.org/10.1109/ssp.2005.1628685
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/0-387-28982-8openalex-snapshot
Inference in Hidden Markov Models
inferredcites →https://doi.org/10.1007/978-0-387-84854-9openalex-snapshot
Hidden Markov Models: Estimation and Control
inferredcites →https://doi.org/10.1007/978-1-4757-3437-9openalex-snapshot
Sequential Monte Carlo Methods in Practice
inferredcites →https://doi.org/10.1007/bf02530508openalex-snapshot
Parameter estimation in general state-space models using particle methods
inferredcites →https://doi.org/10.1016/0304-4149(89)90041-0openalex-snapshot
MLE for partially observed diffusions: direct maximization vs. the em algorithm
inferredcites →https://doi.org/10.1023/a:1008935410038openalex-snapshot
On sequential Monte Carlo sampling methods for Bayesian filtering
inferredcites →https://doi.org/10.1109/18.30995openalex-snapshot
A new method for evaluating the log-likelihood gradient, the Hessian, and the Fisher information matrix for linear dynamic systems
inferredcites →https://doi.org/10.1109/18.9793openalex-snapshot
Exact filters for the estimation of the number of transitions of finite-state continuous-time Markov processes
inferredcites →https://doi.org/10.1109/cdc.1997.652384openalex-snapshot
Recursive estimation in hidden Markov models
inferredcites →https://doi.org/10.1109/icassp.1998.681599openalex-snapshot
A new maximum likelihood gradient algorithm for on-line hidden Markov model identification
inferredcites →https://doi.org/10.1109/icassp.1998.681600openalex-snapshot
Quasi-Newton method for maximum likelihood estimation of hidden Markov models
inferredcites →https://doi.org/10.1109/tac.1974.1100714openalex-snapshot
Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
inferredcites →https://doi.org/10.1111/j.2517-6161.1977.tb01600.xopenalex-snapshot
Maximum Likelihood from Incomplete Data Via the EM Algorithm
inferredcites →https://doi.org/10.1111/j.2517-6161.1982.tb01203.xopenalex-snapshot
Finding the Observed Information Matrix When Using the EM Algorithm
inferredcites →https://doi.org/10.1115/1.3658902openalex-snapshot
New Results in Linear Filtering and Prediction Theory
inferredcites →https://doi.org/10.1214/aoms/1177697196openalex-snapshot
A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
inferredcites →https://doi.org/10.1515/mcma.2001.7.1-2.81openalex-snapshot
Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2192401openalex-extracted
Survival of Hedge Funds: Frailty vs Contagion
inferred← citeshttps://doi.org/10.2139/ssrn.2412321openalex-extracted
A Hidden Markov Model Approach to Information-Based Trading: Theory and Applications
inferred← citeshttps://doi.org/10.2139/ssrn.2858991openalex-extracted
Tempered Particle Filtering
inferred← citeshttps://doi.org/10.1016/j.csda.2008.01.029openalex-snapshot
Direct maximization of the likelihood of a hidden Markov model
inferred← citeshttps://doi.org/10.1016/j.ins.2012.02.017openalex-snapshot
A survey of techniques for incremental learning of HMM parameters
inferred← citeshttps://doi.org/10.1016/j.patrec.2009.09.023openalex-snapshot
On the memory complexity of the forward–backward algorithm
inferred← citeshttps://doi.org/10.1089/cmb.2016.0172openalex-snapshot
Calculating Higher-Order Moments of Phylogenetic Stochastic Mapping Summaries in Linear Time
inferred← citeshttps://doi.org/10.1093/restud/rdab009openalex-snapshot
Identifying Shocks via Time-Varying Volatility
inferred← citeshttps://doi.org/10.1109/jstsp.2010.2076150openalex-snapshot
Efficient Learning of Sparse Conditional Random Fields for Supervised Sequence Labeling
inferred← citeshttps://doi.org/10.1109/lsp.2017.2759902openalex-snapshot
Asymptotically Efficient Identification of Known-Sensor Hidden Markov Models
inferred← citeshttps://doi.org/10.11606/t.45.2015.tde-06082015-103906openalex-snapshot
Estimação de modelos de Markov ocultos usando aritmética intervalar
inferred← citeshttps://doi.org/10.70675/0f8b7ef5z80f0z4aa6zbaeez8b7d84fba489openalex-snapshot
Probabilistic graphical models for statistical genetics and survival analysis. Application to the Lynch syndrome
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