STATISTICAL ESTIMATION IN HIERARCHICAL HIDDEN MARKOV MODEL

被引：2
|
作者：
Voina, A. A. [1 ]
机构：
[1] Koszalin Univ Technol Politechnika Koszalinska, Koszalin, Poland
来源：
CYBERNETICS AND SYSTEMS ANALYSIS | 2014年 / 50卷 / 06期
关键词：
Markov chain; hidden Markov model; queuing system; statistical estimation; consistent estimators;
D O I：
10.1007/s10559-014-9681-x
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
The mathematical model of a stochastic hierarchical structure is presented and several problems of statistical estimation in case of incomplete observations are considered. A method is outlined to construct consistent estimators of parameters for hidden Markov model using the structure of correlation dependence of Markov chains. Such models often occur in applied fields of theory of stochastic processes such as queuing theory, inventory control theory, risk theory, etc. The paper contains specific examples of parametric estimation for models in the above-mentioned scientific domains.
引用
收藏
页码：898 / 912
页数：15
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