Title :
Recursive parameter estimation for partially observed Markov chains
Author :
Elliott, Robert J. ; Moore, John B.
Author_Institution :
Dept. of Stat. & Appl. Probability, Alberta Univ., Edmonton, Alta., Canada
Abstract :
Using the reference probability method, a recursive equation is obtained for the unnormalized joint conditional density of a noisily observed Markov chain, and parameters which determine the transition densities and coefficients in the observations
Keywords :
Markov processes; estimation theory; filtering and prediction theory; parameter estimation; probability; coefficients; filtering; observations; partially observed Markov chains; recursive equation; recursive parameter estimation; reference probability method; transition densities; unnormalized joint conditional density; Australia; Equations; Filtering; Kernel; Parameter estimation; Probability; Recursive estimation; Signal processing; Statistics; Systems engineering and theory;
Conference_Titel :
Signals, Systems and Computers, 1993. 1993 Conference Record of The Twenty-Seventh Asilomar Conference on
Conference_Location :
Pacific Grove, CA
Print_ISBN :
0-8186-4120-7
DOI :
10.1109/ACSSC.1993.342339
