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

DOI10.1016/j.ins.2015.07.038zbMath1390.62168OpenAlexW1413305739MaRDI QIDQ1750411

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 chainadaptive systemsKullback-Leibler divergenceforgettingapproximate 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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