Computing the observed information in the hidden Markov model using the EM algorithm

James P. Hughes

Statistics & Probability Letters, 1997, vol. 32, issue 1, 107-114

Abstract: A method of computing the observed information for the hidden Markov model using the EM algorithm and the results of Louis (1982) is described. Generating the "exact" information may be computationally intensive for large datasets but an approximation is given which significantly reduces the computational effort in most cases.

Keywords: Hidden; Markov; model; EM; algorithm; Information (search for similar items in EconPapers)
Date: 1997
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