Exact inference for a class of hidden Markov models on general state spaces

DOI10.1214/21-EJS1841zbMath1471.62449arXiv2006.03452OpenAlexW3163631177MaRDI QIDQ2044399

Omiros Papaspiliopoulos, Matteo Ruggiero, Guillaume Kon Kam King

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.03452

zbMATH Keywords

hidden Markov modeloptimal filteringCox-Ingersoll-Ross modelBaum-Welch filtersmoothing, diffusion processWright-Fisher filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items

A new filtering inference procedure for a GED state-space volatility model, Approximate filtering via discrete dual processes, Smoothing distributions for conditional Fleming-Viot and Dawson-Watanabe diffusions, Predictive inference with Fleming-Viot-driven dependent Dirichlet processes

Uses Software

• Hecke
• Nemo
• DualOptimalFiltering

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