Recursive smoothers for hidden discrete-time Markov chains | Zendy

Lakhdar Aggoun | Zendy

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Recursive smoothers for hidden discrete-time Markov chains

Author(s) -

Lakhdar Aggoun

Publication year - 2005

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/jamsa.2005.345

Subject(s) - markov chain , mathematics , discrete time and continuous time , variable order markov model , markov chain mixing time , markov model , markov renewal process , balance equation , markov property , markov process , maximization , additive markov chain , mathematical optimization , algorithm , statistics

We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by Elliott et al. (1995). We propose improved recursive formulae to update smoothed estimates of processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization (EM) algorithm

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