Recursive filters for partially observable finite Markov chains

DOI10.1239/JAP/1127322020zbMATH Open1086.60046OpenAlexW2139716914MaRDI QIDQ3367741FDOQ3367741

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

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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)

Cites Work

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• An EM algorithm for estimation in Markov-modulated Poisson processes
• Matrix‐analytic Models and their Analysis
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• Modelling Vehicular Traffic Using the Discrete Time Markovian Arrival Process
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• Optimal error exponents in hidden markov models order estimation
• Recursive estimation for hidden Markov models: a dependent case
• Recursive filters for a partially observable system subject to random failure
• How to count and guess well: Discrete adaptive filters
• Estimating the Order of Continuous Phase-type Distributions and Markov-Modulated Poisson Processes^∗

Cited In (9)

• A Poisson Limit Theorem for Reliability Models Based on Markov Chains
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• 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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