Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1708004 | Applied Mathematics Letters | 2014 | 6 Pages |
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
Authors
Robert J. Elliott, Tak Kuen Siu,