Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs Modified Baum-Welch Algorithm
<|reference_start|>Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs Modified Baum-Welch Algorithm: 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.<|reference_end|>
@article{benabdallah2005parameter,
    title={Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs.
  Modified Baum-Welch Algorithm},
    author={A. Benabdallah and G. Radons},
    journal={arXiv preprint arXiv:cs/0511108},
    year={2005},
    archivePrefix={arXiv},
    eprint={cs/0511108},
    primaryClass={cs.DS cs.LG}
}