Estimating a State-Space Model from Point Process Observations: A Note on Convergence

Ke Yuan, Mahesan Niranjan. 2010. Neural Computation 22 (8): 1993-2001.

# 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.