Exact filtering in conditionally Markov switching hidden linear models

Wojciech Pieczynski

doi:10.1016/j.crma.2011.02.007

Statistics/Theory of Signals

Exact filtering in conditionally Markov switching hidden linear models
[Filtrage exact dans les modèles conditionnellement linéaires à sauts markoviens]

Présenté par : Paul Deheuvels

Wojciech Pieczynski ¹

¹ Institut Telecom, Telecom SudParis, Dept. CITI, CNRS UMR 5157, 91000 Evry, France

Comptes Rendus. Mathématique, Volume 349 (2011) no. 9-10, pp. 587-590.

Résumé
Abstract

Dans les modèles classiques linéaires cachés à sauts markoviens, le calcul exact des filtres optimaux est dʼune complexité exponentielle par rapport au nombre dʼobservations, ce qui nécessite lʼutilisation de techniques dʼapproximation. Dans cet article, nous introduisons une nouvelle famille de modèles qui rendent ces opérations possibles en pratique.

In the classical setup of Markov switching hidden linear systems, the exact evaluation of optimal filters requires computations with complexity increasing exponentially with respect to the number of observations. In the present article, we propose a new family of models which overcome this difficulty, and render practically feasible these calculations.

Reçu le : 2010-09-03
Accepté le : 2011-02-07
Publié le : 2011-04-12

DOI : 10.1016/j.crma.2011.02.007

Affiliations des auteurs :

Wojciech Pieczynski ¹

¹ Institut Telecom, Telecom SudParis, Dept. CITI, CNRS UMR 5157, 91000 Evry, France

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     author = {Wojciech Pieczynski},
     title = {Exact filtering in conditionally {Markov} switching hidden linear models},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {587--590},
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     year = {2011},
     doi = {10.1016/j.crma.2011.02.007},
     language = {en},
}

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Wojciech Pieczynski. Exact filtering in conditionally Markov switching hidden linear models. Comptes Rendus. Mathématique, Volume 349 (2011) no. 9-10, pp. 587-590. doi : 10.1016/j.crma.2011.02.007. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2011.02.007/

Bibliographie
Cité par

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