Title of article
Filtering and change point estimation for hidden Markov-modulated Poisson processes
Author/Authors
Elliott، نويسنده , , Robert J. and Siu، نويسنده , , Tak Kuen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2014
Pages
6
From page
66
To page
71
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
Keywords
Poisson processes , Reference probability approach , Change-point estimation , filtering , Continuous-time hidden Markov chain
Journal title
Applied Mathematics Letters
Serial Year
2014
Journal title
Applied Mathematics Letters
Record number
1529172
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