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State distributions and minimum relative entropy noise sequences in uncertain stochastic systems: the discrete time case
Igor G. Vladimirov
Ian R. Petersen
Published in:
CoRR (2012)
Keyphrases
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relative entropy
stochastic systems
kullback leibler divergence
information theoretic
hidden markov models
probability distribution
state space
mutual information
markov chain
information theory
log likelihood
pairwise
random variables
covariance matrix
finite state
kl divergence