Corpus ID: 219401594

Exact inference for a class of non-linear hidden Markov models

@article{King2020ExactIF,
  title={Exact inference for a class of non-linear hidden Markov models},
  author={G. K. K. King and O. Papaspiliopoulos and M. Ruggiero},
  journal={arXiv: Computation},
  year={2020}
}
  • G. K. K. King, O. Papaspiliopoulos, M. Ruggiero
  • Published 2020
  • Computer Science, Mathematics
  • arXiv: Computation
  • Exact inference for hidden Markov models requires the evaluation of all distributions of interest - filtering, prediction, smoothing and likelihood - with a finite computational effort. This article provides sufficient conditions for exact inference for a class of hidden Markov models on general state spaces given a set of discretely collected indirect observations linked non linearly to the signal, and a set of practical algorithms for inference. The conditions we obtain are concerned with the… CONTINUE READING

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