Asymptotic filtering for finite state Markov chains

DOI10.1016/0304-4149(96)00060-9zbMath0870.62065OpenAlexW2060076922MaRDI QIDQ1363461

Rafail Z. Khasminskii, 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

zbMATH Keywords

Markov chainshypothesis testingnonlinear filtering

Mathematics Subject Classification ID

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

Related Items (5)

Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics ⋮ An ergodic theorem for filtering with applications to stability ⋮ On the entropy of a hidden Markov process ⋮ Stability of the nonlinear filter for slowly switching Markov chains ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models

Cites Work

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

This page was built for publication: Asymptotic filtering for finite state Markov chains