Filtering of continuous-time Markov chains

被引：0
|
作者：
Aggoun, L
Benkherouf, L
Tadj, L
机构：
[1] Sultan Qaboos Univ, Dept Math & Stat, Al Khod 123, Oman
[2] King Saud Univ, Dept Math & Operat Res, Riyadh 11451, Saudi Arabia
来源：
MATHEMATICAL AND COMPUTER MODELLING | 1997年 / 26卷 / 12期
关键词：
hidden Markov models; measure change techniques; finite-dimensional filters;
D O I：
10.1016/S0895-7177(97)00241-0
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
This paper discusses finite-dimensional optimal filters for partially observed Markov chains. A model for a system containing a finite number of components where each component behaves like an independent finite state continuous-time Markov chain is considered. Using measure change techniques various estimators are derived.
引用
收藏
页码：73 / 83
页数：11
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