Filtering of Hidden Weak Markov Chain -Discrete Range Observations

Shangzhen Luo () and Allanus H. Tsoi ()
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Shangzhen Luo: University of Northern Iowa
Allanus H. Tsoi: University of Missouri

Chapter 7 in Hidden Markov Models in Finance, 2007, pp 101-119 from Springer

Abstract: Summary In this paper we consider a hidden discrete time finite state process X whose behavior at the present time t depends on its behavior at the previous k time steps, which is a generalization of the usual hidden finite state Markov chain, in which k equals to one. We consider the case when the range space of our observations is finite. We present filtering equations for certain functionals of the chain and perform related error analysis.

Keywords: Hidden weak Markov chain; filtering; smoothing; EM algorithm; parameter reestimation (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-0-387-71163-8_7

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DOI: 10.1007/0-387-71163-5_7

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