Filtering and change point estimation for hidden Markov-modulated Poisson processes

DOI10.1016/J.AML.2013.10.001zbMATH Open1311.62128OpenAlexW2077725280MaRDI QIDQ2345286FDOQ2345286

Authors: Robert J. Elliott, Tak Kuen Siu 

Publication date: 19 May 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2013.10.001

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zbMATH Keywords

Poisson processeschange-point estimationfilteringcontinuous-time hidden Markov chainreference probability approach

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• On the optimal filtering of diffusion processes
• Change point estimation for continuous-time hidden Markov models
• Title not available (Why is that?)
• Hidden Markov Models for Time Series
• The Representation of Martingales of Jump Processes

Cited In (10)

• Filtering and smoothing formulas of AR(p)-modulated Poisson processes
• Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering
• Sign CUSUM algorithm for change-point detection of the MMPP controlling chain state
• A Monte Carlo method for filtering a marked doubly stochastic Poisson process
• Sequential tracking of a hidden Markov chain using point process observations
• Change point estimation for continuous-time hidden Markov models
• Filtering, Smoothing andM-ary Detection with Discrete Time Poisson Observations
• Integration by parts and martingale representation for a Markov chain
• Filters for spatial point processes
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market

Uses Software

• R

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