Exact adaptive filters for Markov chains observed in Gaussian noise

DOI10.1016/0005-1098(94)90004-3zbMath0823.93061OpenAlexW2005775198MaRDI QIDQ1337722

Robert J. Elliott

Publication date: 23 October 1995

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(94)90004-3

zbMATH Keywords

adaptive filteringGaussian noiseMarkov chaindiscrete timefilter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Adaptive control/observation systems (93C40)

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Cites Work

• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Recursive estimation from discrete-time point processes
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

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