Likelihood and decoding problems for mixed space hidden Markov model

DOI10.1515/MCMA-2024-2005MaRDI QIDQ6554567zbMATH OpenFDO

Authors Hafssa Kroumbi, Abdelaziz Nasroallah

Publication date 12 June 2024

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

forward-backward algorithmViterbi algorithmhidden Markov modelMarkov chainsMonte Carlo methodmixed probability distribution

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Generalized stochastic processes (60G20)

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Cites work

• scientific article; zbMATH DE number 3145626 (Why is no real title available?)
• American option prices in a Markov chain market model
• Markov chains. From theory to implementation and experimentation
• Markov chains. Theory and applications
• On a multivariate Markov chain model for credit risk measurement
• On the Distribution of a Positive Random Variable Having a Discrete Probability Mass at the Origin
• Perfect simulation of steady-state Markov chain on mixed state space
• Stochastic processes. Theory for applications.

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