How to count and guess well: Discrete adaptive filters

DOI10.1007/BF01261991zbMath0810.93062OpenAlexW2055326765MaRDI 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 modeldiscrete adaptive filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12)

Related Items (8)

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ Backward Stochastic Difference Equations with Finite States ⋮ A generalized Girsanov transformation of finite state stochastic processes in discrete time ⋮ 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 ⋮ Recursive filters for partially observable finite Markov chains

Cites Work

• Unnamed Item
• 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

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