Discrete-time estimation of a Markov chain with marked point process observations. Application to Markovian jump filtering.
Sébastien AllamFrançois DufourPierre BertrandPublished in: IEEE Trans. Autom. Control. (2001)
Keyphrases
- markov chain
- steady state
- monte carlo simulation
- finite state
- monte carlo
- transition probabilities
- stochastic process
- markov model
- stationary distribution
- importance sampling
- state space
- marked point process
- random walk
- markov process
- markov processes
- monte carlo method
- transition matrix
- particle filter
- markov chain monte carlo
- higher order