• DocumentCode
    1559323
  • Title

    Exact filters for the estimation of the number of transitions of finite-state continuous-time Markov processes

  • Author

    Zeitouni, O. ; Dembo, A.

  • Author_Institution
    Dept. of Electr. Eng., Technion, Israel Inst. of Technol., Haifa, Israel
  • Volume
    34
  • Issue
    4
  • fYear
    1988
  • fDate
    7/1/1988 12:00:00 AM
  • Firstpage
    890
  • Lastpage
    893
  • Abstract
    The problem of estimating the number of transitions of finite-state continuous-time Markov processes observed by a noisy sensor is considered. A finite-dimensional exact filter is derived, and using the EM algorithm (an extension of the Baum-Welch algorithm for the discrete-time case), an application is made to the problem of estimating the unknown transition matrix of a finite-state continuous-time Markov process
  • Keywords
    Markov processes; filtering and prediction theory; EM algorithm; finite-dimensional exact filter; finite-state continuous-time Markov processes; noisy sensor; number of transitions estimation; transition matrix; Condition monitoring; Costs; Filtering; Filters; Information systems; Iterative algorithms; Laboratories; Markov processes; Motion estimation; State estimation;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/18.9793
  • Filename
    9793
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1559323