Exact filtering in conditionally Markov switching hidden linear models
DOI10.1016/J.CRMA.2011.02.007zbMATH Open1236.94033OpenAlexW2066045542MaRDI QIDQ544916FDOQ544916
Authors: 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
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Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Cites Work
- Inference in hidden Markov models.
- Title not available (Why is that?)
- A unified approach to nonlinearity, structural change, and outliers
- Adaptive estimation and identification for discrete systems with Markov jump parameters
- Multisensor triplet Markov chains and theory of evidence
- Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
- Signal and Image Segmentation Using Pairwise Markov Chains
Cited In (9)
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
- Switched probabilistic multi-models
- Exact inference for a class of hidden Markov models on general state spaces
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- Exact Bayesian prediction in a class of Markov-switching models
- Exact smoothing in hidden conditionally Markov switching linear models
- Fast smoothing in switching approximations of non-linear and non-Gaussian models
- A numerical filtering method for linear state-space models with Markov switching
- Optimal filtering and the dual process
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