Exact filtering in conditionally Markov switching hidden linear models

被引：21
|
作者：
Pieczynski, Wojciech [1 ]
机构：
[1] Telecom SudParis, Inst Telecom, Dept CITI, CNRS,UMR 5157, F-91000 Evry, France
来源：
COMPTES RENDUS MATHEMATIQUE | 2011年 / 349卷 / 9-10期
关键词：
D O I：
10.1016/j.crma.2011.02.007
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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. (C) 2011 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.
引用
收藏
页码：587 / 590
页数：4
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