Exact Bayesian Prediction in a class of Markov-switching models

@inproceedings{Bardel2010ExactBP,
  title={Exact Bayesian Prediction in a class of Markov-switching models},
  author={No{\'e}mie Bardel},
  year={2010}
}
  • Noémie Bardel
  • Published 2010
Jump-Markov state-space systems (JMSS) are widely used in s tat stical signal processing. However as is well known Bayesian restoration in JMSS is an NP-hard pr oblem, so in practice all inference algorithms need to resort to some approximations. In this pa per we focus on the computation of the conditional expectation of the hidden variable of interest given the available observations, which is optimal from the Bayesian quadratic risk viewpoint. We show that in some stochastic systems, namely… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 20 references

Exact Bayesian prediction in non -Gaussian Markov-switching model. In XIII Conference Applied Stochastic Models and Data Analysis (ASMDA

  • N. Bardel, F. Desbouvries
  • 2009
1 Excerpt

Exact filtering an d smoothing in Markov switching systems hidden with Gaussian long memory noise. In XIII Conference Applied Stochastic Models and Data Analysis (ASMDA

  • W. Pieczynski, N. Abbassi, M. Ben Mabrouk
  • 2009
2 Excerpts

Kalman filtering in pa rwise Markov trees.Signal Processing

  • F. Desbouvries J. Lecomte, W. Pieczynski
  • 2006
1 Excerpt

Beyond the Kalman Filter - Particle filters for tracking applications

  • B. Ristic, S. Arulampalam, N. Gordon
  • 2004
1 Excerpt

Similar Papers

Loading similar papers…