Exact Smoothing in Hidden Conditionally Markov Switching Linear Models

DOI10.1080/03610926.2011.562761zbMath1239.60070OpenAlexW2134324992MaRDI QIDQ3098920

Wojciech Pieczynski

Publication date: 18 November 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.562761

zbMATH Keywords

hidden Markov chainswitching modelexact smoothingpolynomial time compexityunsupervised smoothing

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• A unified approach to nonlinearity, structural change, and outliers
• Exact filtering in conditionally Markov switching hidden linear models
• Inference in hidden Markov models.
• Adaptive estimation and identification for discrete systems with Markov jump parameters
• Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
• Signal and Image Segmentation Using Pairwise Markov Chains

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