A numerical filtering method for linear state‐space models with Markov switching

DOI10.1002/acs.3109zbMath1469.93103OpenAlexW3014364062MaRDI QIDQ5003419

Christopher McLean, Michael Pauley, Jonathan H. Manton

Publication date: 22 July 2021

Published in: International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/acs.3109

zbMATH Keywords

filteringMarkov switchinglinear state-space models

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05)

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Markov-switching state-space models with applications to neuroimaging

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