Open AccessHidden Markov change point estimation
Author(s) -
Robert J. Elliott,
Sebastian Elliott
Publication year - 2015
Publication title -
communications on stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 10
eISSN - 2688-6669
pISSN - 0973-9599
DOI - 10.31390/cosa.9.3.04
Subject(s) - estimation , markov chain , markov model , point (geometry) , computer science , econometrics , statistics , mathematics , economics , geometry , management
A hidden Markov model is considered where the dynamics of the hidden process change at a random 'change point' . In principle this gives rise to a non-linear lter but closed form recursive estimates are obtained for the conditional distribution of the hidden process and of .
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