Recursive parameter estimation and its convergence for multivariate normal hidden Markov inhomogeneous models

• Main Authors: Miftahul Fikri, Miftahul Fikri, Abdul Malek, Zulkurnain, Mohd. Esa, Mona. Riza, Eko Supriyanto, Eko Supriyanto
• Format: Article
• Language: English
• Published: Penerbit UTM Press 2023
• Subjects: TK Electrical engineering. Electronics Nuclear engineering
• Online Access: http://eprints.utm.my/105358/1/ZulkurnainAbdulMalek2023_RecursiveParameterEstimationandItsConvergence.pdf; http://eprints.utm.my/105358/; http://dx.doi.org/10.11113/mjfas.v19n5.3041

In this paper, will discussed parameter estimation and convergence analysis of multivariate normal hidden inhomogeneous Markov models. The results of this research show that by using the expectation maximization algorithm, a sequence of parameter estimators converges to a stationary point of the lik...