Sequential tracking of a hidden Markov chain using point process observations

DOI10.1016/j.spa.2008.09.003zbMath1163.62062arXiv0712.0413OpenAlexW2070591700MaRDI QIDQ1019610

Erhan Bayraktar, Michael Ludkovski

Publication date: 4 June 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.0413

zbMATH Keywords

optimal switchingMarkov modulated Poisson processes

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Sequential statistical analysis (62L10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Optimal stopping in statistics (62L15)

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