Estimating rate constants in hidden Markov models by the EM algorithm
Steffen Michalek, Jens Timmer · IEEE Transactions on Signal Processing · 1999
The EM algorithm, e.g., the Baum-Welch (1970) re-estimation, is an important tool for parameter estimation in discrete-time hidden Markov models. We present a direct re-estimation of rate constants for applications in which the underlying Markov process is continuous in time. Previous estimation of discrete-time transition probabilities is not necessary.