Name
Abstract | ||
|---|---|---|
A continuous-time Markov chain which is partially observed in Poisson noise is considered, where a structural change in the dynamics of the hidden process occurs at a random change point. Filtering and change point estimation of the model is discussed. Closed-form recursive estimates of the conditional distribution of the hidden process and the random change point are obtained, given the Poisson process observations |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1016/j.aml.2013.10.001 | Applied Mathematics Letters |
Keywords | Field | DocType |
Continuous-time hidden Markov chain,Poisson processes,Reference probability approach,Filtering,Change-point estimation | Statistical physics,Conditional probability distribution,Mathematical analysis,Markov chain,Poisson distribution,Statistics,Hidden Markov model,Shot noise,Mathematics,Compound Poisson process,Hidden semi-Markov model,Markov renewal process | Journal |
Volume | ISSN | Citations |
28 | 0893-9659 | 3 |
PageRank | References | Authors |
0.45 | 1 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Tak Kuen Siu | 2 | 114 | 20.25 |