Filtering and change point estimation for hidden Markov-modulated Poisson processes

DOI10.1016/j.aml.2013.10.001zbMath1311.62128OpenAlexW2077725280MaRDI QIDQ2345286

Tak Kuen Siu, Robert J. Elliott

Publication date: 19 May 2015

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2013.10.001

zbMATH Keywords

filteringPoisson processeschange-point estimationcontinuous-time hidden Markov chainreference probability approach

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

Filtering and smoothing formulas of AR(p)-modulated Poisson processes ⋮ Integration by parts and martingale representation for a Markov chain

Uses Software

• R

Cites Work

• Unnamed Item
• Change point estimation for continuous-time hidden Markov models
• The Representation of Martingales of Jump Processes
• On the optimal filtering of diffusion processes
• Hidden Markov Models for Time Series

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