Optimal Filter Approximations in Conditionally Gaussian Pairwise Markov Switching Models

DOI10.1109/TAC.2014.2340591zbMath1360.93683MaRDI QIDQ2982787

Wojciech Pieczynski, N. Abbassi, D. Benboudjema, Stéphane Derrode

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (5)

Fast smoothing in switching approximations of non-linear and non-Gaussian models ⋮ Semiparametric hidden Markov model with non-parametric regression ⋮ Further results on H_∞ control for discrete-time Markovian jump time-delay systems ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Design of probabilistic \(l_2\)-\(l_\infty\) filter for uncertain Markov jump systems with partial information of the transition probabilities

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