Parameter Estimation of Hidden Diffusion Processes: Particle Filter vs.   Modified Baum-Welch Algorithm
  We propose a new method for the estimation of parameters of hidden diffusion processes. Based on parametrization of the transition matrix, the Baum-Welch algorithm is improved. The algorithm is compared to the particle filter in application to the noisy periodic systems. It is shown that the modified Baum-Welch algorithm is capable of estimating the system parameters with better accuracy than particle filters. 
A. Benabdallah and G. Radons