Recursive smoothers for hidden discrete-time Markov chains

Recursive smoothers for hidden discrete-time Markov chains

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Article ID: iaor20091353
Country: United States
Volume: 2005
Issue: 3
Start Page Number: 345
End Page Number: 351
Publication Date: Sep 2005
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors:
Abstract:

We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by Elliott et al. We propose improved recursive formulae to update smoothed estimates of processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization algorithm.

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