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Uniqueness in law for pure jump Markov processes

✍ Scribed by R. F. Bass


Publisher
Springer
Year
1988
Tongue
English
Weight
637 KB
Volume
79
Category
Article
ISSN
1432-2064

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This paper is concerned with the adaptive prediction for stochastic processes with abruptly changing parameters modelled as a finite-state Markov chain. The Markov transition matrix is assumed to be known. For the coloured noise disturbance case, it is shown that the optimal prediction algorithm req