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

DOI10.1109/9.928593MaRDI QIDQ4540405zbMATH OpenOpenAlexFDO

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

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)

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

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