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Exact filters for the estimation of the number of transitions of finite-state continuous-time Markov processes

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2 Author(s)
Zeitouni, O. ; Dept. of Electr. Eng., Technion, Israel Inst. of Technol., Haifa, Israel ; Dembo, A.

The problem of estimating the number of transitions of finite-state continuous-time Markov processes observed by a noisy sensor is considered. A finite-dimensional exact filter is derived, and using the EM algorithm (an extension of the Baum-Welch algorithm for the discrete-time case), an application is made to the problem of estimating the unknown transition matrix of a finite-state continuous-time Markov process

Published in:

Information Theory, IEEE Transactions on  (Volume:34 ,  Issue: 4 )

Date of Publication:

Jul 1988

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