On hidden Markov chains and finite stochastic systems

被引：2

作者：

Spreij, P ^{[1
]}

机构：

[1] Univ Amsterdam, Korteweg Vries Inst Math, NL-1018 TV Amsterdam, Netherlands

来源：

STATISTICS & PROBABILITY LETTERS | 2003年 / 62卷 / 02期

关键词：

Markov chain; hidden Markov chain; recursive filtering; stochastic system;

D O I：

10.1016/S0167-7152(03)00011-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas for the different systems that we consider. A key tool is a simple lemma on conditional expectations. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：189 / 202

页数：14

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