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On hidden Markov chains and finite stochastic systems

✍ Scribed by Peter Spreij


Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
185 KB
Volume
62
Category
Article
ISSN
0167-7152

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πŸ“œ SIMILAR VOLUMES


On the Markov property of a finite hidde
✍ Peter Spreij πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 119 KB

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 ΓΏltering formula for the underlying chain.

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We consider statistical data forming sequences of states of stationary finite irreducible Markov chains, and draw statistical inference about the transition matrix. The inference consists in estimation of parameters of transition probabilities and testing simple and composite hypotheses about them,