Recursive estimation of a hidden Markov time

MaRDI QIDQ3636228zbMATH OpenFDO

Authors Lakhdar Aggoun

Publication date 30 June 2009

zbMATH Keywords

discrete-time hidden Markov modelMarkov stopping time

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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(5)

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• Change point estimation for continuous-time hidden Markov models
• Recursive estimation for hidden Markov models: a dependent case
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market
• Recursive Kalman-type optimal estimation and detection of hidden Markov chains

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