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https://hdl.handle.net/2440/78499
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Type: | Journal article |
Title: | Change point estimation for continuous-time hidden Markov models |
Author: | Elliott, R. Deng, J. |
Citation: | Systems and Control Letters, 2013; 62(2):112-114 |
Publisher: | Elsevier Science BV |
Issue Date: | 2013 |
ISSN: | 0167-6911 |
Statement of Responsibility: | Robert J. Elliott, Jia Deng |
Abstract: | A continuous-time hidden Markov model is considered where the dynamics of the hidden process change at a random 'change point' τ. Closed form recursive estimates for the conditional distribution of the hidden process and the change point τ are obtained, given the observations. © 2012 Elsevier B.V. All rights reserved. |
Keywords: | Continuous-time hidden Markov model Girsanov theorem Change point |
Rights: | © 2012 Elsevier B.V. All rights reserved. |
DOI: | 10.1016/j.sysconle.2012.11.007 |
Published version: | http://dx.doi.org/10.1016/j.sysconle.2012.11.007 |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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