EM. ProbablisticParameterEstimation 방법

missing data를 estimation하는 general algorithm.

HiddenMarkovModel estimation 하는 BaumWelchAlgorithm 은 EM algorithm의 specilal case. HMM의 경우 missing data는 unknown state.

statistical model 에서

parameter θ, oberseved quantity x, missing data y,

to find the model maximises the log likelihood

log P(x|θ) = log Sum(y)P(x,y|θ).

see also ExpectationMaximization