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Recursive smoothers for hidden discrete-time Markov chains. (English) Zbl 1094.62104
Summary: We consider a discrete-time Markov chain observed through another Markov chain. The proposed model extends models discussed by R. J. Elliott et al. [Hidden Markov models. Estimation and control. (1995; Zbl 0819.60045)]. We propose improved recursive formulae to update smoothed estimates processes related to the model. These recursive estimates are used to update the parameter of the model via the expectation maximization (EM) algorithm.
MSC:
62M05 Markov processes: estimation; hidden Markov models
65C60 Computational problems in statistics (MSC2010)
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