On hidden Markov chains and finite stochastic systems
概率论
2014-07-15 v1
摘要
In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas for the different systems that we consider. The key tool is a simple lemma on conditional expectations.
引用
@article{arxiv.math/0107144,
title = {On hidden Markov chains and finite stochastic systems},
author = {Peter Spreij},
journal= {arXiv preprint arXiv:math/0107144},
year = {2014}
}