Likelihood and decoding problems for mixed space hidden Markov model

DOI10.1515/MCMA-2024-2005zbMATH Open1541.60053MaRDI QIDQ6554567FDOQ6554567

Authors: Hafssa Kroumbi, Abdelaziz Nasroallah 

Publication date: 12 June 2024

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

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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)

Cites Work

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• American option prices in a Markov chain market model
• Stochastic processes. Theory for 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
• Markov chains. Theory and applications
• Markov chains. From theory to implementation and experimentation
• Perfect simulation of steady-state Markov chain on mixed state space

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