Recursive smoothers for hidden discrete-time Markov chains 外文参考文献.docVIP

RECURSIVESMOOTHERSFORHIDDEN DISCRETE-TIMEMARKOVCHAINS LAKHDARAGGOUN Received22September2004andinrevisedform4February2005 Weconsideradiscrete-timeMarkovchainobservedthroughanotherMarkovchain.The proposedmodelextendsmodelsdiscussedbyElliottetal.(1995).Weproposeimproved recursiveformulaetoupdatesmoothedestimatesofprocessesrelatedtothemodel.These recursive estimates areused toupdate the parameter ofthe model via the expectation maximization(EM)algorithm. 1.Introduction Hidden Markovchains havebeen thesubject ofextensive studies, seethebooks [1,2] andthereferencestherein.Ofparticular interesta