Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains

DOI10.1080/07362990600629314MaRDI QIDQ5478917zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

MartingalesParameter EstimationExpectation Maximization AlgorithmReference Probability

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3868304 (Why is no real title available?)
• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• An EM algorithm for estimation in Markov-modulated Poisson processes
• Exact adaptive filters for Markov chains observed in Gaussian noise
• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
• Maximum-likelihood localization of narrow-band autoregressive sources via the EM algorithm
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Time discretization of continuous-time filters and smoothers for HMM parameter estimation

Cited in

(7)

• State Estimation Schemes for Independent Component Coupled Hidden Markov Models
• Filtering and smoothing for a multi-targets system
• Recursive smoothers for hidden discrete-time Markov chains
• A Viterbi smoother for discrete state space model
• Some applications of \(M\)-ary detection in quantitative finance
• A filter for a hidden Markov chain observed in fractional Gaussian noise
• Exact inference for a class of hidden Markov models on general state spaces

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