Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs. Modified Baum-Welch Algorithm
A. Benabdallah, G. Radons
Abstract
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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