Filtrage exact dans les modèles conditionnellement linéaires à sauts markoviens

Wojciech Pieczynski

doi:10.1016/j.crma.2011.02.007

Filtrage exact dans les modèles conditionnellement linéaires à sauts markoviens

Translated title of the contribution: Exact filtering in conditionally Markov switching hidden linear models

Wojciech Pieczynski

Research output: Contribution to journal › Article › peer-review

Abstract

In the classical setup of Markov switching hidden linear systems, the exact evaluation of optimal filters requires computations with complexity increasing exponentially with respect to the number of observations. In the present article, we propose a new family of models which overcome this difficulty, and render practically feasible these calculations.

Translated title of the contribution	Exact filtering in conditionally Markov switching hidden linear models
Original language	French
Pages (from-to)	587-590
Number of pages	4
Journal	Comptes Rendus Mathematique
Volume	349
Issue number	9-10
DOIs	https://doi.org/10.1016/j.crma.2011.02.007
Publication status	Published - 1 May 2011

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10.1016/j.crma.2011.02.007

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title = "Filtrage exact dans les mod{\`e}les conditionnellement lin{\'e}aires {\`a} sauts markoviens",

abstract = "In the classical setup of Markov switching hidden linear systems, the exact evaluation of optimal filters requires computations with complexity increasing exponentially with respect to the number of observations. In the present article, we propose a new family of models which overcome this difficulty, and render practically feasible these calculations.",

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year = "2011",

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AB - In the classical setup of Markov switching hidden linear systems, the exact evaluation of optimal filters requires computations with complexity increasing exponentially with respect to the number of observations. In the present article, we propose a new family of models which overcome this difficulty, and render practically feasible these calculations.

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DO - 10.1016/j.crma.2011.02.007

M3 - Article

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JO - Comptes Rendus Mathematique

JF - Comptes Rendus Mathematique

IS - 9-10

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Filtrage exact dans les modèles conditionnellement linéaires à sauts markoviens

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