Recursive smoothers for hidden discrete-time Markov chains (Q2498186)
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English | Recursive smoothers for hidden discrete-time Markov chains |
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Recursive smoothers for hidden discrete-time Markov chains (English)
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28 August 2006
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Summary: We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by \textit{R. J. Elliott} et al. [Hidden Markov models. Estimation and control. (1995; Zbl 0819.60045)]. We propose improved recursive formulae to update smoothed estimates processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization (EM) algorithm.
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