Finite dimensional predictors for hidden Markov chains
β Scribed by Lakhdar Aggoun; Robert J. Elliott
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 240 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0167-6911
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π SIMILAR VOLUMES
For a discrete-time Markov chain with finite state space [1, ..., r] we consider the joint distribution of the numbers of visits in states 1, ..., r&1 during the first N steps or before the N th visit to r. From the explicit expressions for the corresponding generating functions we obtain the limiti
This paper presents a method of finite dimensional Markov process (FDMP) approximation for stochastic dynamical systems with time delay. The FDMP method preserves the standard state space format of the system, and allows us to apply all the existing methods and theories for analysis and control of s