Hidden Markov Processes and Adaptive Filtering
Yury A. Kutoyants
Gebundenes Buch

Hidden Markov Processes and Adaptive Filtering

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This book is devoted to the problem of adaptive filtering for partially observed systems depending on unknown parameters. Adaptive filters are proposed for a wide variety of models: Gaussian and conditionally Gaussian linear models of diffusion processes; some nonlinear models; telegraph signals in white Gaussian noise (all in continuous time); and autoregressive processes observed in white noise (discrete time). The properties of the estimators and adaptive filters are described in the asymptotics of small noise or large samples. The parameter estimators and adaptive filters have a recursive ...