Article ID Journal Published Year Pages File Type
1708004 Applied Mathematics Letters 2014 6 Pages PDF
Abstract

A continuous-time Markov chain which is partially observed in Poisson noise is considered, where a structural change in the dynamics of the hidden process occurs at a random change point. Filtering and change point estimation of the model is discussed. Closed-form recursive estimates of the conditional distribution of the hidden process and the random change point are obtained, given the Poisson process observations

Related Topics
Physical Sciences and Engineering Engineering Computational Mechanics
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