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

DOI10.1016/J.AML.2013.10.001MaRDI QIDQ2345286zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• Change point estimation for continuous-time hidden Markov models
• Hidden Markov Models for Time Series
• On the optimal filtering of diffusion processes
• The Representation of Martingales of Jump Processes

Cited in

(10)

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

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Uses Software

• R

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