Recursions for the MMPP Score Vector and Observed Information Matrix
STOCHASTIC MODELS(2010)
摘要
Exact forward recursions for the score vector and observed information matrix of the Markov-modulated Poisson process (MMPP) are developed. The recursions are motivated by similar recursions developed for hidden Markov models by Lystig and Hughes who extended earlier work by LeGland and Mevel. Explicit expressions for the first derivative and Hessian of the MMPP transition density matrix are developed and coupled with the recursions. The recursions are implemented and applied to confidence interval estimation in a simulation study.
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关键词
Hidden Markov model,MMPP,Observed information,Score
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