Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
DOI10.1080/07362990600629314zbMATH Open1099.62094OpenAlexW2002898893MaRDI QIDQ5478917FDOQ5478917
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Publication date: 13 July 2006
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990600629314
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Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10)
Cites Work
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- An EM algorithm for estimation in Markov-modulated Poisson processes
- Title not available (Why is that?)
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
- Exact adaptive filters for Markov chains observed in Gaussian noise
- Time discretization of continuous-time filters and smoothers for HMM parameter estimation
- Maximum-likelihood localization of narrow-band autoregressive sources via the EM algorithm
Cited In (7)
- Some applications of \(M\)-ary detection in quantitative finance
- Exact inference for a class of hidden Markov models on general state spaces
- Recursive smoothers for hidden discrete-time Markov chains
- A filter for a hidden Markov chain observed in fractional Gaussian noise
- A Viterbi smoother for discrete state space model
- State Estimation Schemes for Independent Component Coupled Hidden Markov Models
- Filtering and smoothing for a multi-targets system
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