Exact filtering in conditionally Markov switching hidden linear models

DOI10.1016/J.CRMA.2011.02.007MaRDI QIDQ544916zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

exact evaluation of optimal filtersMarkov switching hidden linear systems

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 2136426 (Why is no real title available?)
• A unified approach to nonlinearity, structural change, and outliers
• Adaptive estimation and identification for discrete systems with Markov jump parameters
• Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
• Inference in hidden Markov models.
• Multisensor triplet Markov chains and theory of evidence
• 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
• Exact Bayesian prediction in a class of Markov-switching models
• scientific article; zbMATH DE number 2033191 (Why is no real title available?)
• Exact smoothing in hidden conditionally Markov switching linear models
• Fast smoothing in switching approximations of non-linear and non-Gaussian models
• Optimal filtering and the dual process
• A numerical filtering method for linear state-space models with Markov switching

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