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

DOI10.1109/9.928593zbMATH Open1005.93045OpenAlexW2117698041MaRDI QIDQ4540405FDOQ4540405

Authors: S. Allam, P. Bertrand, F. 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

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zbMATH Keywords

expectation maximizationMarkov chainestimationfilteringMarkovian jump systemsintermittent measurementschange of probability measurerecursive formsmarked point process observations

Mathematics Subject Classification ID

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

Cited In (2)

• Inventory management with partially observed nonstationary demand
• Filtering of the Markov jump process given the observations of multivariate point process

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