Maximum likelihood estimation of time-series with Markov regime
Subhrakanti Dey, Vikram Krishnamurthy · 2002
In this paper, we consider the estimation of various Markov-modulated time-series. We obtain maximum likelihood estimates of the time-series parameters including the Markov chain transition probabilities and the time-series coefficients using the expectation maximization (EM) algorithm. Also the recursive EM algorithm is used to obtain online parameter estimates. Simulation studies show that both algorithms yield satisfactory results.>