Recursive estimation of high-order Markov chains: approximation by finite mixtures

DOI10.1016/J.INS.2015.07.038MaRDI QIDQ1750411zbMATH OpenOpenAlexFDO

Authors Miroslav Kárný

Publication date 22 May 2018

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2015.07.038

zbMATH Keywords

Markov chainKullback-Leibler divergenceadaptive systemsforgettingapproximate parameter estimationBayesian recursive estimation

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited in

(4)

• Effectiveness of Bayesian filters: an information fusion perspective
• Recursive estimation in mixture models with Markov regime
• Fully probabilistic design of hierarchical Bayesian models
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model

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