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Avtomatika i Telemekhanika, 2020, Issue 3, Pages 86–113
DOI: https://doi.org/10.31857/S000523102003006X (Mi at15437) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Topical issue

Parameter estimation for continuous time hidden Markov processes

Yu. A. Kutoyantsab

a Le Mans Université, Le Mans, France
b Tomsk State University, Tomsk, Russia
Full-text PDF (499 kB) Citations (3)
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DOI: https://doi.org/10.31857/S000523102003006X
Abstract: A survey of research works on the parameter estimation of hidden Markov processes is presented. Two observation models are considered: a partially observed two-dimensional Gaussian process and a telegraph process observed against the background of white Gaussian noise. The properties of estimators in the large sample and small noise asymptotics are described. Special attention is paid to the computational complexity and asymptotic efficiency of the estimators proposed.
Keywords: parameter estimation, hidden processes, Kalman filtering, telegraph process.
Presented by the member of Editorial Board: E. Ya. Rubinovich

Received: 20.06.2019
Revised: 02.08.2019
Accepted: 26.09.2019
English version:
Automation and Remote Control, 2020, Volume 81, Issue 3, Pages 445–468
DOI: https://doi.org/10.1134/S0005117920030054
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: Yu. A. Kutoyants, “Parameter estimation for continuous time hidden Markov processes”, Avtomat. i Telemekh., 2020, no. 3, 86–113; Autom. Remote Control, 81:3 (2020), 445–468
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2020/i3/p86
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
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    Abstract page:292
    Full-text PDF :36
    References:25
    First page:16
     
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