Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/78499
Citations
Scopus Web of Science® Altmetric
?
?
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

Files in This Item:
There are no files associated with this item.


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.