Estimating a state-space model from point process observations: a note on convergence.

Abstract:

:Physiological signals such as neural spikes and heartbeats are discrete events in time, driven by continuous underlying systems. A recently introduced data-driven model to analyze such a system is a state-space model with point process observations, parameters of which and the underlying state sequence are simultaneously identified in a maximum likelihood setting using the expectation-maximization (EM) algorithm. In this note, we observe some simple convergence properties of such a setting, previously un-noticed. Simulations show that the likelihood is unimodal in the unknown parameters, and hence the EM iterations are always able to find the globally optimal solution.

journal_name

Neural Comput

journal_title

Neural computation

authors

Yuan K,Niranjan M

doi

10.1162/neco.2010.07-09-1047

subject

Has Abstract

pub_date

2010-08-01 00:00:00

pages

1993-2001

issue

8

eissn

0899-7667

issn

1530-888X

journal_volume

22

pub_type

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