Exact adaptive filters for Markov chains observed in Gaussian noise (Q1337722)
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scientific article; zbMATH DE number 683724
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact adaptive filters for Markov chains observed in Gaussian noise |
scientific article; zbMATH DE number 683724 |
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Exact adaptive filters for Markov chains observed in Gaussian noise (English)
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23 October 1995
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This paper deals with a discrete time and finite state Markov chain observed with Gaussian noise. Employing the Girsanov transformation, the author obtains a recursive estimate of a filter. Moreover, using the expectation maximization to re-estimate unknown parameters of the signal and observation processes, adaptive filtering is discussed.
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discrete time
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Markov chain
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Gaussian noise
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filter
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adaptive filtering
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