Identification of Continuous-Discrete Hidden Markov Models with Multiplicative Observation Noise

Identification of Continuous-Discrete Hidden Markov Models with Multiplicative Observation Noise

The paper aims to identify hidden Markov model parameters. The unobservable state represents a finite-state Markov jump process. The observations contain Wiener noise with state-dependent intensity. The identified parameters include the transition intensity matrix of the system state, conditional dr...

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Bibliographic Details
Main Authors: Andrey Borisov, Andrey Gorshenin
Format: Article
Language:English
Published: MDPI AG 2022-08-01
Series:Mathematics
Subjects:
hidden markov model
multiplicative observation noise
fixed-interval smoothing
numerical integration
EM algorithm
Online Access:https://www.mdpi.com/2227-7390/10/17/3062

Internet

https://www.mdpi.com/2227-7390/10/17/3062

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