Iterative algorithms for state estimation of jump Markov linear systems

Jump Markov linear systems (JMLS) are linear systems whose parameters evolve with time according to a finite state Markov chain. Given a set of observations, our aim is to estimate the states of the finite state Markov chain and the continuous (in space) states of the linear system. In this paper, w...

詳細記述

書誌詳細
主要な著者: Doucet, A, Andrieu, C
フォーマット: Journal article
出版事項: 2001