Inference in Hidden Markov models /

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Bibliographic Details
Main Author: Cappe, Olivier
Other Authors: Moulines, Eric, Ryden, Tobias
Format: Printed Book
Language:English
Published: New York Springer , 2005.
Series:Springer series in statistics.
Subjects:
Markov processes
Mathematical statistics
Statistics
Computer simulation
Economics
Structural control (Engineering)
Table of Contents:
  • . Introduction-- Main definitions and notations Pt. I. State inference-- Filtering and smoothing recursions--Advanced topics in smoothing-- Applications of smoothing--Monte Carlo methods-- Sequential Monte Carlo methods-- Advanced topics in sequential Monte Carlo--Analysis of sequential Monte Carlo methods Pt. II. Parameter inference-- Maximum likelihood inference, part I : optimization through exact smoothing-- Maximum likelihood inference, part II : Monte Carlo optimization--Statistical properties of the maximum likelihood estimator--Fully Bayesian approaches Pt. III. Background and complements-- Elements of Markov chain theory-- An information-theoretic perspective on order estimation

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