• Title of article

    Change point estimation for continuous-time hidden Markov models

  • Author/Authors

    Elliott، نويسنده , , Robert J. and Deng، نويسنده , , Jia، نويسنده ,

  • Issue Information
    ماهنامه با شماره پیاپی سال 2013
  • Pages
    3
  • From page
    112
  • To page
    114
  • Abstract
    A continuous-time hidden Markov model is considered where the dynamics of the hidden process change at a random ‘change point’ τ . Closed form recursive estimates for the conditional distribution of the hidden process and the change point τ are obtained, given the observations.
  • Keywords
    Continuous-time hidden Markov model , Change point , Girsanov theorem
  • Journal title
    Systems and Control Letters
  • Serial Year
    2013
  • Journal title
    Systems and Control Letters
  • Record number

    1676448

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1676448