Filtering for hybrid systems with Markovian and deterministic switching parameters<sup>(∗)</sup> (Q4237953)
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scientific article; zbMATH DE number 1275434
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| English | Filtering for hybrid systems with Markovian and deterministic switching parameters<sup>(∗)</sup> |
scientific article; zbMATH DE number 1275434 |
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Filtering for hybrid systems with Markovian and deterministic switching parameters<sup>(∗)</sup> (English)
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5 September 1999
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filtering for hybrid systems
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switching parameters
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Markov switching
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0.8132067918777466
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0.7925792932510376
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0.7923731207847595
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0.786811888217926
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In this paper, the authors study the filtering problem for mixed time Gaussian models with switching. In the case where the switching parameter is a Markov chain, the exact filters for the signal and for the switching parameter are presented. In the other case where the switching parameter is an arbitrary non-random function of time, an expectation maximization algorithm for estimating the switching parameter is considered.
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