Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering

DOI10.1109/9.928593zbMath1005.93045OpenAlexW2117698041MaRDI QIDQ4540405

P. Bertrand, S. Allam, François Dufour

Publication date: 21 July 2002

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.928593

zbMATH Keywords

estimationMarkov chainfilteringMarkovian jump systemsintermittent measurementsexpectation maximizationchange of probability measurerecursive formsmarked point process observations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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