Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process

Systems and Control Letters

Volumn 31, Issue 2, 1997, Pages 93-102

  Miller, Boris M ^a   Runggaldier, Wolfgang J ^b  

^a INSTITUTE FOR INFORMATION TRANSMISSION PROBLEMS   (Russian Federation)

^b UNIVERSITY OF PADOVA   (Italy)

Author keywords

Finite dimensional filters; Hidden Markov models; Kalman filtering; Linear and nonlinear filtering; Markovian switching coefficients

Indexed keywords

ALGORITHMS; MARKOV PROCESSES; MATHEMATICAL MODELS; VECTORS;

FINITE DIMENSIONAL FILTERS; HIDDEN MARKOV MODELS; MARKOVIAN SWITCHING COEFFICIENTS;

KALMAN FILTERING;

EID: 0031190550     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6911(97)00016-9     Document Type: Article

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