Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains

DOI10.1080/07362990600629314zbMath1099.62094OpenAlexW2002898893MaRDI QIDQ5478917

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Publication date: 13 July 2006

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

Full work available at URL: https://doi.org/10.1080/07362990600629314

zbMATH Keywords

MartingalesParameter EstimationExpectation Maximization AlgorithmReference Probability

Mathematics Subject Classification ID

Related Items (4)

A filter for a hidden Markov chain observed in fractional Gaussian noise ⋮ State Estimation Schemes for Independent Component Coupled Hidden Markov Models ⋮ Some applications ofM-ary detection in quantitative finance ⋮ A Viterbi smoother for discrete state space model

Cites Work

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• Exact adaptive filters for Markov chains observed in Gaussian noise
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Maximum-likelihood localization of narrow-band autoregressive sources via the EM algorithm
• Time discretization of continuous-time filters and smoothers for HMM parameter estimation

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