{
  "id": "2003.08544",
  "version": "v1",
  "published": "2020-03-19T02:32:26.000Z",
  "updated": "2020-03-19T02:32:26.000Z",
  "title": "EM algorithm for stochastic hybrid systems",
  "authors": [
    "Masaaki Fukasawa"
  ],
  "categories": [
    "math.PR",
    "math.ST",
    "stat.TH"
  ],
  "abstract": "A stochastic hybrid system, also known as a switching diffusion, is a continuous-time Markov process with state space consisting of discrete and continuous parts. We consider parametric estimations of the Q matrix for the discrete state transitions and of the drift coefficient for the diffusion part based on a partial observation where the continuous state is monitored continuously in time, while the discrete state is unobserved. Extending results for hidden Markov models developed by Elliot et al. [1], we derive a finite-dimensional filter and the EM algorithm for stochastic hybrid systems.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-03-19T02:32:26.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "stochastic hybrid system",
      "em algorithm",
      "hidden markov models",
      "discrete state transitions",
      "continuous-time markov process"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}