Hidden Markov Models: Estimation and Control (Stochastic Modelling and Applied Probability)

Description

As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics.

In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.

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1. Ebooks list page : 2013
2. Hidden Markov Models for Time Series: An Introduction Using R (Monographs on Statistics and Applied Probability)
3. Average-Cost Control of Stochastic Manufacturing Systems (Stochastic Modelling and Applied Probability)
4. Discrete-Time Markov Chains: Two-Time-Scale Methods and Applications (Stochastic Modelling and Applied Probability)
5. Stochastic Approximation and Recursive Algorithms and Applications (Stochastic Modelling and Applied Probability)
6. Numerical Solution of Stochastic Differential Equations (Stochastic Modelling and Applied Probability)
7. Stochastic Simulation: Algorithms and Analysis (Stochastic Modelling and Applied Probability)
8. Stochastic Models, Estimation, and Control Volume 2
9. Stochastic Models, Estimation, and Control Volume 1
10. Hidden Markov Models: Applications to Financial Economics (ADVANCED STUDIES IN THEORETICAL AND APPLIED ECONOMETRICS)
11. Controlled Diffusion Processes (Stochastic Modelling and Applied Probability)
12. Stochastic Models, Estimation and Control Volume 3 (Mathematics in Science and Engineering): Peter S. Maybeck
13. Semi-Markov Chains and Hidden Semi-Markov Models toward Applications: Their Use in Reliability and DNA Analysis
14. Semi-Markov Chains and Hidden Semi-Markov Models toward Applications: Their Use in Reliability and DNA Analysis
15. Hidden Markov Models in Finance
16. Hidden Markov Models: Applications to Financial Economics