Maximum likelihood estimator for hidden Markov models in continuous time
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DOI: 10.1007/s11203-008-9025-4
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References listed on IDEAS
- Levanony, David & Shwartz, Adam & Zeitouni, Ofer, 1994. "Recursive identification in continuous-time stochastic processes," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 245-275, February.
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Cited by:
- Yury A. Kutoyants, 2021. "On localization of source by hidden Gaussian processes with small noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 671-702, August.
- Kutoyants, Yury A., 2019. "On parameter estimation of the hidden Ornstein–Uhlenbeck process," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 248-263.
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Keywords
Maximum Likelihood estimator; Continuous time hidden Markov models; Partial observations; Filtering;All these keywords.
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