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On hidden Markov chains and finite stochastic systems

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  • Spreij, Peter

Abstract

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. A key tool is a simple lemma on conditional expectations.

Suggested Citation

  • Spreij, Peter, 2003. "On hidden Markov chains and finite stochastic systems," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 189-201, April.
    • Handle: RePEc:eee:stapro:v:62:y:2003:i:2:p:189-201
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    References listed on IDEAS

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    1. Spreij, Peter, 2001. "On the Markov property of a finite hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 279-288, April.
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    Cited by:

    1. Stadje, Wolfgang, 2005. "The evolution of aggregated Markov chains," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 303-311, October.

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