Recursive algorithms for estimation of hidden Markov models and autoregressive models with Markov regime

DOI10.1109/18.979322zbMath1071.62502OpenAlexW2124458906MaRDI QIDQ4544800

Vikram Krishnamurthy, George Yin

Publication date: 4 August 2002

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.979322

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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