On hidden Markov chains and finite stochastic systems.

DOI10.1016/S0167-7152(03)00011-7MaRDI QIDQ1423261zbMATH OpenOpenAlexFDO

Authors Peter Spreij

Publication date 14 February 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0107144

zbMATH Keywords

Hidden Markov chainMarkov chainRecursive filteringStochastic system

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stochastic systems in control theory (general) (93E03) Filtering in stochastic control theory (93E11)

Abstract: In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas for the different systems that we consider. The key tool is a simple lemma on conditional expectations.

Recommendations

• Finite-dimensional models for hidden Markov chains
• scientific article; zbMATH DE number 524374
• On the Markov property of a finite hidden Markov chain
• Finite dimensional predictors for hidden Markov chains
• scientific article; zbMATH DE number 440538

Cites work

• Hidden Markov random fields
• scientific article; zbMATH DE number 3614623 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 4120082 (Why is no real title available?)
• On the Markov property of a finite hidden Markov chain
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains

Cited in

(5)

• Finite dimensional predictors for hidden Markov chains
• The evolution of aggregated Markov chains
• On the Relationships Between Lumpability and Filtering of Finite Stochastic Systems
• Application of dependence with complete connections to hidden Markov models
• On the Markov property of a finite hidden Markov chain

This page was built for publication: On hidden Markov chains and finite stochastic systems.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1423261)