This article is cited in 5 papers

Topical issue

Parameter estimation for continuous time hidden Markov processes

Yu. A. Kutoyants<sup>ab

a</sup> Le Mans Université, Le Mans, France
^b Tomsk State University, Tomsk, Russia

Abstract: A survey of research works on the parameter estimation of hidden Markov processes is presented. Two observation models are considered: a partially observed two-dimensional Gaussian process and a telegraph process observed against the background of white Gaussian noise. The properties of estimators in the large sample and small noise asymptotics are described. Special attention is paid to the computational complexity and asymptotic efficiency of the estimators proposed.

Keywords: parameter estimation, hidden processes, Kalman filtering, telegraph process.

Presented by the member of Editorial Board: E. Ya. Rubinovich

Received: 20.06.2019
Revised: 02.08.2019
Accepted: 26.09.2019

DOI: 10.31857/S000523102003006X

 English version: Automation and Remote Control, 2020, 81:3, 445–468

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