Change point estimation for continuous-time hidden Markov models

DOI10.1016/J.SYSCONLE.2012.11.007MaRDI QIDQ1940400zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Jia Deng

Publication date 6 March 2013

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2012.11.007

zbMATH Keywords

change pointGirsanov theoremcontinuous-time hidden Markov model

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

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(6)

• scientific article; zbMATH DE number 4090515 (Why is no real title available?)
• Dirichlet process hidden Markov multiple change-point model
• Recursive estimation of a hidden Markov time
• Detection and estimation of structural change in heavy-tailed sequence
• Filtering and change point estimation for hidden Markov-modulated Poisson processes
• Quasi-hidden Markov model and its applications in change-point problems

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