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| 引用本文： | �Ų�,����,���.������ɷ��Ԫ��̬�ֲ������ļ�����Ȼ����[J].应用概率统计,2020,36(2):162-172. |
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| 作者姓名： | �Ų� ���� ��� |
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| 作者单位： | ???????о?????????, ????, 650504; ???????????????????, ????, 655011 |
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| 摘 要： |
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| 关 键 词： | ??????????? ????????? ??????? ??????????? |
Maximum Likelihood Estimation of Hidden Markov Multivariate Normal Distribution Parameters |
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| ZHANG Bo,LIU Hefei,WANG Kun.Maximum Likelihood Estimation of Hidden Markov Multivariate Normal Distribution Parameters[J].Chinese Journal of Applied Probability and Statisties,2020,36(2):162-172. |
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| Authors: | ZHANG Bo LIU Hefei WANG Kun |
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| Institution: | Graduate School, Yunnan University, Kunming,650504, China; School of Mathematics and Statistics, Qujing Normal University, Qujing, 655011, China |
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| Abstract: | ??Hidden Markov model is widely used in statistical modeling of time, space and state transition data. The definition of hidden Markov multivariate normal distribution is given. The principle of using cluster analysis to determine the hidden state of observed variables is introduced. The maximum likelihood estimator of the unknown parameters in the model is derived. The simulated observation data set is used to test the estimation effect and stability of the method. The characteristic is simple classical statistical inference such as cluster analysis and maximum likelihood estimation. The method solves the parameter estimation problem of complex statistical models. |
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| Keywords: | hidden Markov model multivariate normal distribution cluster analysis maximum likelihood estimation |
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