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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/78499
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dc.contributor.authorElliott, R.-
dc.contributor.authorDeng, J.-
dc.date.issued2013-
dc.identifier.citationSystems and Control Letters, 2013; 62(2):112-114-
dc.identifier.issn0167-6911-
dc.identifier.urihttp://hdl.handle.net/2440/78499-
dc.description.abstractA 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.-
dc.description.statementofresponsibilityRobert J. Elliott, Jia Deng-
dc.language.isoen-
dc.publisherElsevier Science BV-
dc.rights© 2012 Elsevier B.V. All rights reserved.-
dc.source.urihttp://dx.doi.org/10.1016/j.sysconle.2012.11.007-
dc.subjectContinuous-time hidden Markov model-
dc.subjectGirsanov theorem-
dc.subjectChange point-
dc.titleChange point estimation for continuous-time hidden Markov models-
dc.typeJournal article-
dc.identifier.doi10.1016/j.sysconle.2012.11.007-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest 4
Mathematical Sciences publications

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