Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm
Data Structures and Algorithms
2007-05-23 v1 Machine Learning
Abstract
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.
Cite
@article{arxiv.cs/0511108,
title = {Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm},
author = {A. Benabdallah and G. Radons},
journal= {arXiv preprint arXiv:cs/0511108},
year = {2007}
}
Comments
15 pages, 3 figures, 2 tables