Exact smoothing in hidden conditionally Markov switching linear models

DOI10.1080/03610926.2011.562761MaRDI QIDQ3098920zbMATH OpenOpenAlexFDO

Authors Wojciech Pieczynski

Publication date 18 November 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.562761

zbMATH Keywords

exact smoothinghidden Markov chainpolynomial time compexityswitching modelunsupervised smoothing

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• A unified approach to nonlinearity, structural change, and outliers
• Adaptive estimation and identification for discrete systems with Markov jump parameters
• Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
• Exact filtering in conditionally Markov switching hidden linear models
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Inference in hidden Markov models.
• Signal and Image Segmentation Using Pairwise Markov Chains

Cited in

(11)

• Recursive smoothers for hidden discrete-time Markov chains
• Linear optimal prediction and innovations representations of hidden Markov models.
• Gaussian conditionally Markov sequences: modeling and characterization
• Expectation correction for smoothed inference in switching linear dynamical systems
• Exact Bayesian prediction in a class of Markov-switching models
• Approximate forward-backward algorithm for a switching linear Gaussian model
• Generalized adaptive exponential smoothing of observations from an ergodic hidden Markov model
• On Large Lag Smoothing for Hidden Markov Models
• Consistent Estimation of the Filtering and Marginal Smoothing Distributions in Nonparametric Hidden Markov Models
• Exact filtering in conditionally Markov switching hidden linear models
• A correction to ``On approximation of smoothing probabilities for hidden Markov models

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