Recursive Parameter Estimation and Its Convergence for Multivariate Normal Hidden Markov Inhomogeneous Models
Miftahul Fikri, Zulkurnain Abdul‐Malek, Mona Riza Mohd Esa, Eko Supriyanto · Malaysian Journal of Fundamental and Applied Sciences · 2023
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 likelihood function in a monotonically increasing manner.