Parameter estimation for continuous time hidden Markov processes

DOI10.1134/S0005117920030054MaRDI QIDQ827936zbMATH OpenOpenAlexFDO

Authors Yu. A. Kutoyants

Publication date 14 January 2021

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117920030054

zbMATH Keywords

parameter estimationKalman filteringtelegraph processhidden processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Estimation and detection in stochastic control theory (93E10)

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Cited in

(15)

• Parameter estimation for hidden Markov chains
• Change point estimation for continuous-time hidden Markov models
• Estimation for the discretely observed telegraph process
• scientific article; zbMATH DE number 2219571 (Why is no real title available?)
• Parameter estimation of Gaussian hidden Markov models when missing observations occur
• Discretely observed Brownian motion governed by telegraph process: estimation
• Estimation of parameters in hidden Markov models
• Bivariate Markov processes and their estimation
• Parametric estimation for partially hidden diffusion processes sampled at discrete times
• On parameter estimation of hidden telegraph process
• On parameter estimation of the hidden Gaussian process in perturbed SDE
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
• Approximation of stationary processes by hidden Markov models
• \( \mathcal{L}_1\)-optimal filtering of Markov jump processes. III: Identification of system parameters
• Flexible estimation of the state dwell-time distribution in hidden semi-Markov models

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