Asymptotic filtering for finite state Markov chains

DOI10.1016/0304-4149(96)00060-9zbMATH Open0870.62065OpenAlexW2060076922MaRDI QIDQ1363461FDOQ1363461

Authors: R. Z. Khas'minskiĭ, Ofer Zeitouni 

Publication date: 7 August 1997

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(96)00060-9

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zbMATH Keywords

hypothesis testingMarkov chainsnonlinear filtering

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

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• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• On some filtration procedure for jump Markov process observed in white Gaussian noise

Cited In (13)

• A Kalman filtering technique for certain Markov chains
• Title not available (Why is that?)
• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
• Filtering of continuous-time Markov chains
• Stability of the nonlinear filter for slowly switching Markov chains
• Title not available (Why is that?)
• Linear filtering with fractional noises: large time and small noise asymptotics
• On filtering for a hidden Markov chain under square performance criterion
• Exponential forgetting of smoothing distributions for pairwise Markov models
• On Filtering of Markov Chains in Strong Noise
• On the entropy of a hidden Markov process
• An ergodic theorem for filtering with applications to stability
• New finite-dimensional filters and smoothers for noisily observed Markov chains

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