Recursive estimation for hidden Markov models: a dependent case

DOI10.1080/07362999508809408MaRDI QIDQ4848791zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott

Publication date 5 November 1995

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999508809408

zbMATH Keywords

conditional normalized and unnormalized estimatesfinite state observation processhidden Markov modeloccupation time

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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Cites work

• Recursive estimation from discrete-time point processes

Cited in

(7)

• Measure change estimates for hidden Markov models
• On recursive estimation for hidden Markov models
• Option valuation with a discrete-time double Markovian regime-switching model
• Recursive filters for partially observable finite Markov chains
• Recursive estimation of a hidden Markov time
• Application of dependence with complete connections to hidden Markov models
• Recursive Kalman-type optimal estimation and detection of hidden Markov chains

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