Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm

Details Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm

2005-11-30

arxiv.org/abs/cs/0511108v1

Computer Science

Data Structures and Algorithms

15 pages, 3 figures, 2 tables

Scientific paper

We propose a new method for the estimation of parameters of hidden diffusion processes. Based on parametrization of the transition matrix, the Baum-Welch algorithm is improved. The algorithm is compared to the particle filter in application to the noisy periodic systems. It is shown that the modified Baum-Welch algorithm is capable of estimating the system parameters with better accuracy than particle filters.

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