| Title | Recursive Estimation in Mixture Models with Markov Regime |
| Authors | Ulla Holst, Georg Lindgren |
| Alternative Location | http://ieeexplore.ieee.org/..., Restricted Access |
| Publication | IEEE Transactions on Information Theory |
| Year | 1991 |
| Volume | 37 |
| Issue | 6 |
| Pages | 1683 - 1690 |
| Document type | Article |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | IEEE |
| Abstract English | A recursive algorithm is proposed for estimation of parameters in mixture models, where the observations are governed by a hidden Markov chain. The performance of the algorithm is studied by simulations of a symmetric normal mixture. The algorithm seems to be stable and produce approximately normally distributed estimates, provided the adaptive matrix is kept well conditioned. |
| Keywords | Markov regime, Mixed distribution, EM-algorithm, recursive ML-estimation, |
| ISBN/ISSN/Other | ISSN: 0018-9448 |
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