On the Markov property of a finite hidden Markov chain

Peter Spreij

Statistics & Probability Letters, 2001, vol. 52, issue 3, 279-288

Abstract: In this paper we study the question of the conditions under which a hidden Markov chain itself exhibits Markovian behaviour. An insightful method to answer this question is based on a recursive filtering formula for the underlying chain.

Keywords: Markov; chain; Hidden; Markov; chain; Recursive; filtering (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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