Linear optimal prediction and innovations representations of hidden Markov models.

DOI10.1016/S0304-4149(03)00086-3zbMath1075.62626OpenAlexW2151432438MaRDI QIDQ2574606

Rolf Johansson, Sofia Andersson, Tobias Rydén

Publication date: 29 November 2005

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(03)00086-3

zbMATH Keywords

hidden Markov modelKalman filterRiccati equationnon-minimalityprediction error representationinnovations representation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

A spectral algorithm for learning hidden Markov models, Subspace estimation and prediction methods for hidden Markov models, Learning hidden Markov models with unknown number of states

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