Exact filtering in conditionally Markov switching hidden linear models

DOI10.1016/j.crma.2011.02.007zbMath1236.94033OpenAlexW2066045542MaRDI QIDQ544916

Wojciech Pieczynski

Publication date: 16 June 2011

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2011.02.007

zbMATH Keywords

exact evaluation of optimal filtersMarkov switching hidden linear systems

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items

Fast smoothing in switching approximations of non-linear and non-Gaussian models ⋮ Exact Smoothing in Hidden Conditionally Markov Switching Linear Models ⋮ Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance

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