Filtering of continuous-time Markov chains

This paper discusses finite-dimensional optimal filters for partially observed Markov chains. A model for a system containing a finite number of components where each component behaves like an independent finite state continuous-time Markov chain is considered. Using measure change techniques variou...

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Bibliographic Details
Published in:Mathematical and computer modelling 1997-12, Vol.26 (12), p.73-83
Main Authors: Aggoun, L., Benkherouf, L., Tadj, L.
Format: Article
Language:English
Subjects:
Finite-dimensional filters
Hidden Markov models
Measure change techniques
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Description
Summary:This paper discusses finite-dimensional optimal filters for partially observed Markov chains. A model for a system containing a finite number of components where each component behaves like an independent finite state continuous-time Markov chain is considered. Using measure change techniques various estimators are derived.
ISSN:0895-7177
1872-9479
DOI:10.1016/S0895-7177(97)00241-0