Measure change estimates for hidden Markov models

DOI10.1016/0167-6911(94)90044-2zbMath0818.62073OpenAlexW1976187715MaRDI QIDQ1333860

Robert J. Elliott

Publication date: 1994

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(94)90044-2

zbMATH Keywords

Markov chainchange of measurerecursive formulaeunnormalized conditional estimates

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Modelling and filtering for dynamic investment in the precious-metals market ⋮ PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS ⋮ Nonlinear Filter Estimation of Volatility

Cites Work

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• On measure transformations for combined filtering and parameter estimation in discrete time
• On a general concept of forgetting
• A general recursive discrete-time filter

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