Open AccessJournal Article
A gentle tutorial of the em algorithm and its application to parameter estimation for Gaussian mixture and hidden Markov models
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In this paper, the authors describe the EM algorithm for finding the parameters of a mixture of Gaussian densities and a hidden Markov model (HMM) for both discrete and Gaussian mixture observation models.Abstract:
We describe the maximum-likelihood parameter estimation problem and how the ExpectationMaximization (EM) algorithm can be used for its solution. We first describe the abstract form of the EM algorithm as it is often given in the literature. We then develop the EM parameter estimation procedure for two applications: 1) finding the parameters of a mixture of Gaussian densities, and 2) finding the parameters of a hidden Markov model (HMM) (i.e., the Baum-Welch algorithm) for both discrete and Gaussian mixture observation models. We derive the update equations in fairly explicit detail but we do not prove any convergence properties. We try to emphasize intuition rather than mathematical rigor.read more
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References
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Maximum likelihood from incomplete data via the EM algorithm
Book
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