Exact and approximate hidden Markov chain filters based on discrete observations
DOI10.1515/strm-2015-0004zbMath1339.60040arXiv1411.0849MaRDI QIDQ293595
Nicole Bäuerle, Igor Gilitschenski, Uwe D. Hanebeck
Publication date: 9 June 2016
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.0849
Brownian motion; hidden Markov model; continuous-time Markov chain; Wonham filter; asymmetric telegraph process; discrete Bayesian filter
60J22: Computational methods in Markov chains
62M20: Inference from stochastic processes and prediction
65C20: Probabilistic models, generic numerical methods in probability and statistics
60J65: Brownian motion
60G35: Signal detection and filtering (aspects of stochastic processes)
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
94A12: Signal theory (characterization, reconstruction, filtering, etc.)
65C40: Numerical analysis or methods applied to Markov chains
60J27: Continuous-time Markov processes on discrete state spaces
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