Estimating rate constants in hidden Markov models by the EM algorithm

Abstract

The EM algorithm, e.g., the Baum-Welch (1970) re-estimation, is an important tool for parameter estimation in discrete-time hidden Markov models. We present a direct re-estimation of rate constants for applications in which the underlying Markov process is continuous in time. Previous estimation of discrete-time transition probabilities is not necessary.