How to count and guess well: Discrete adaptive filters

DOI10.1007/BF01261991zbMath0810.93062MaRDI QIDQ1330925

Robert J. Elliot, Hailiang Yang

Publication date: 10 August 1994

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01261991

zbMATH Keywords

hidden Markov model; discrete adaptive filter

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60G35: Signal detection and filtering (aspects of stochastic processes)

93E12: Identification in stochastic control theory

Related Items

Malliavin calculus in a binomial framework, A general theory of finite state backward stochastic difference equations, Filtering of continuous-time Markov chains, A high-order Markov-switching model for risk measurement, A generalized Girsanov transformation of finite state stochastic processes in discrete time, Backward Stochastic Difference Equations with Finite States, Recursive filters for partially observable finite Markov chains, Backward stochastic difference equations for dynamic convex risk measures on a binomial tree

Cites Work

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• Optimal control of Markov processes with incomplete state information
• Conditional Markov Processes
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Recursive estimation from discrete-time point processes
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains