Wavelet estimation of state space models

MaRDI QIDQ5192556zbMATH OpenFDO

Authors Airlane P. Alencar, Clélia M. C. Toloi, Eliana Zandonade, Pedro A. Morettin

Publication date 6 August 2009

Full work available at URL http://pphmj.com/abstract/3946.htm

zbMATH Keywords

EM algorithmKalman filterMarkov chainstate space modelsswitching modelswavelets

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Filtering in stochastic control theory (93E11)

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