Recursive smoothers for hidden discrete-time Markov chains

Lakhdar Aggoun

International Journal of Stochastic Analysis, 2005, vol. 2005, 1-7

Abstract:

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.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:901863

DOI: 10.1155/JAMSA.2005.345

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