Recursive smoothers for hidden discrete-time Markov chains

[摘要] We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by Elliott et al. (1995). We propose improved recursive formulae to update smoothed estimates of processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization (EM) algorithm.

[学科分类] 应用数学