Finite-dimensional models for hidden Markov chains

DOI10.2307/1428101MaRDI QIDQ4698507zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Lakhdar Aggoun

Publication date 8 October 1995

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1428101

zbMATH Keywords

EM algorithmfilterparameter estimation

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Filtering in stochastic control theory (93E11)

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(31)

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• Finite dimensional predictors for hidden Markov chains
• The realization problem for hidden Markov models
• On hidden Markov chains and finite stochastic systems.
• On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
• Hidden Markov model with Markovian emission
• On localization of source by hidden Gaussian processes with small noise
• Robust filtering and propagation of uncertainty in hidden Markov models
• Data-driven modeling of the temporal evolution of breakers' states in the French electrical transmission grid
• On parameter estimation of the hidden Gaussian process in perturbed SDE
• A modified hidden Markov model
• Approximating a diffusion by a finite-state hidden Markov model
• Inference in finite state space non parametric hidden Markov models and applications
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
• H2-Filtering for discrete-time hidden Markov jump systems
• scientific article; zbMATH DE number 440538 (Why is no real title available?)
• On evaluation of discrete states of hidden Markov chain under uncertainty conditions
• Discrete time nonlinear filtering with marked point process observations
• Computational methods for discrete hidden semi-Markov chains
• ON A STOCHASTIC CAPTURE–RECAPTURE PREDATOR–PREY MODEL
• Hidden Markov Chain Filtering for a Jump Diffusion Model
• Recursive estimation for hidden Markov models: a dependent case
• Discrete–time nonlinear filtering with marked point process observations: ii. risk–sensitive filters
• Filtering of continuous-time Markov chains with noise-free observation and applications
• Filtering of Hidden Weak Markov Chain -Discrete Range Observations
• Filtering and the EM-Algorithm for the Markovian Arrival Process
• Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market
• Nonparametric finite translation hidden Markov models and extensions
• The complete realization problem for hidden Markov models: a survey and some new results

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