Change Point Estimation For Continuous-Time Hidden Markov Models
Systems & Control Letters(2013)
摘要
A continuous-time hidden Markov model is considered where the dynamics of the hidden process change at a random 'change point' tau. Closed form recursive estimates for the conditional distribution of the hidden process and the change point tau are obtained, given the observations. (c) 2012 Elsevier B.V. All rights reserved.
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关键词
Continuous-time hidden Markov model,Girsanov theorem,Change point
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