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

Wojciech Pieczynski

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

25 Citations (Scopus)

Résumé

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.

Titre traduit de la contribution	Exact filtering in conditionally Markov switching hidden linear models
langue originale	Français
Pages (de - à)	587-590
Nombre de pages	4
journal	Comptes Rendus Mathematique
Volume	349
Numéro de publication	9-10
Les DOIs	https://doi.org/10.1016/j.crma.2011.02.007
état	Publié - 1 mai 2011

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10.1016/j.crma.2011.02.007

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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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Filtrage exact dans les modèles conditionnellement linéaires à sauts markoviens

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