How to count and guess well: Discrete adaptive filters

Applied Mathematics & Optimization

Volumn 30, Issue 1, 1994, Pages 51-78

  Elliott, R J ^a   Yang, Hailiang ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

AMS classification: 93E11, 93E12, 60G35; Discrete adaptive filter; Expectation maximization; Girsanov theorem; Hidden Markov Model; Martingale; representation; Smoothed estimate; Zakai equation

Indexed keywords

EID: 0004235294     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/BF01261991     Document Type: Article

References (8)

1. Optimal control of Markov processes with incomplete state information
2. Statistical inference for probabilistic functions of finite state Markov chains
3. Stochastic Calculus and Applications
4. New finite dimensional filters and smoothers for noisily observed Markov chains
5. A tutorial on Hidden Markov Models and selected applications in speech recognition
6. Recursive estimation from discrete time point processes
7. Conditional Markov processes