Recursive estimation of a discrete-time Markov chain

DOI10.1016/0895-7177(93)90145-OMaRDI QIDQ1324260zbMATH OpenOpenAlexFDO

Authors Y. Yavin

Publication date 20 July 1994

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(93)90145-o

zbMATH Keywords

point processstate estimationnonlinear filteringdiscrete-time Markov chaincomplete separable metric spacediscrete-time measurement processesrecursive estimation equations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Recommendations

• Recursive filters for partially observable finite Markov chains
• scientific article; zbMATH DE number 4102954
• On recursive estimation for hidden Markov models
• Recursive smoothers for hidden discrete-time Markov chains

Cites work

• scientific article; zbMATH DE number 3176450 (Why is no real title available?)
• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3599249 (Why is no real title available?)
• A note on linear estimation of the intensity in a doubly stochastic Poisson field
• An on-line parameter estimation algorithm for counting process observations (Corresp.)
• Continuous-time approximations for the nonlinear filtering problem
• Filtering and detection for doubly stochastic Poisson processes
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• Non-linear filtering of counting processes driven by Ornstein-Uhlenbeck processes
• Nonlinear Filtering Formulas for Discrete-Time Observations
• Nonlinear filtering with counting observations
• Numerical studies in nonlinear filtering
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• On the dynamical equations of conditional probability density functions, with applications to optimal stochastic control theory
• On the optimal filtering of diffusion processes
• Optimal control of Markov processes with incomplete state information
• Optimal estimation for discrete time jump processes
• Point processes and queues. Martingale dynamics
• Probability methods for approximations in stochastic control and for elliptic equations
• Recursive estimation from discrete-time point processes
• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
• Recursive parameter estimation for counting processes with linear intensity
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Stochastic differential equations for the non linear filtering problem
• Stochastic processes and filtering theory
• Stochastic processes in estimation theory
• Suboptimal nonlinear filtering of the rate of an observed point process

Cited in

(8)

• Recursive estimation of a hidden Markov time
• Recursive partial realization from the combined sequence of Markov parameters and moments
• On the recursive parameter estimation in the general discrete time statistical model
• Recursive smoothers for hidden discrete-time Markov chains
• Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
• scientific article; zbMATH DE number 1537559 (Why is no real title available?)
• Recursive Kalman-type optimal estimation and detection of hidden Markov chains
• On evaluation of discrete states of hidden Markov chain under uncertainty conditions

This page was built for publication: Recursive estimation of a discrete-time Markov chain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1324260)