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
fDate :
7/1/1988 12:00:00 AM
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;
Journal_Title :
Information Theory, IEEE Transactions on
