Recursive filters for partially observable finite Markov chains

DOI10.1239/JAP/1127322020MaRDI QIDQ3367741zbMATH OpenOpenAlexFDO

Authors James Ledoux

Publication date 26 January 2006

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1127322020

zbMATH Keywords

hidden Markov chainEM-algorithmTime-inhomogeneous Markov chainD-BMAP

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 444952 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 194776 (Why is no real title available?)
• scientific article; zbMATH DE number 2087799 (Why is no real title available?)
• An EM algorithm for batch Markovian arrival processes and its comparison to a simpler estimation procedure
• An EM algorithm for estimation in Markov-modulated Poisson processes
• Estimating the Order of Continuous Phase-type Distributions and Markov-Modulated Poisson Processes^∗
• Hidden Markov processes
• How to count and guess well: Discrete adaptive filters
• Matrix‐analytic Models and their Analysis
• Modelling Vehicular Traffic Using the Discrete Time Markovian Arrival Process
• Optimal control of Markov processes with incomplete state information
• Optimal error exponents in hidden markov models order estimation
• Recursive estimation for hidden Markov models: a dependent case
• Recursive estimation from discrete-time point processes
• Recursive filters for a partially observable system subject to random failure

Cited in

(9)

• A Poisson Limit Theorem for Reliability Models Based on Markov Chains
• scientific article; zbMATH DE number 440538 (Why is no real title available?)
• Recursive filters for a partially observable system subject to random failure
• Recursive partial realization from the combined sequence of Markov parameters and moments
• On the Relationships Between Lumpability and Filtering of Finite Stochastic Systems
• scientific article; zbMATH DE number 1537439 (Why is no real title available?)
• Filtering and the EM-Algorithm for the Markovian Arrival Process
• Bivariate Markov processes and their estimation
• An EM algorithm for continuous-time bivariate Markov chains

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