Filtering and change point estimation for hidden Markov-modulated Poisson processes
نویسندگان
چکیده
منابع مشابه
Hidden Markov Change Point Estimation
A hidden Markov model is considered where the dynamics of the hidden process change at a random ‘change point’ . In principle this gives rise to a non-linear filter but closed form recursive estimates are obtained for the conditional distribution of the hidden process and of .
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2014
ISSN: 0893-9659
DOI: 10.1016/j.aml.2013.10.001