Iterative algorithms for state estimation of jump Markov linear systems

IEEE Transactions on Signal Processing

Volumn 49, Issue 6, 2001, Pages 1216-1227

  Doucet, Arnaud ^a,b   Andrieu, Christophe ^a,c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF MELBOURNE   (Australia)

^c UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Jump Markov linear systems; MCMC; Simulated annealing; Switching state space models

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; ITERATIVE METHODS; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; SIGNAL PROCESSING; SIMULATED ANNEALING; STATE SPACE METHODS;

JUMP MARKOV LINEAR SYSTEM; MARGINAL MAXIMUM A POSTEORI; MINIMUM MEAN SQUARE ERROR;

MARKOV PROCESSES;

EID: 0035369663     PISSN: 1053587X     EISSN: None     Source Type: Journal    
DOI: 10.1109/78.923304     Document Type: Article

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