On hidden Markov chains and finite stochastic systems

Details On hidden Markov chains and finite stochastic systems On hidden Markov chains and finite stochastic systems

2001-07-20

arxiv.org/abs/math/0107144v1

Mathematics

Probability

Scientific paper

In this paper we study various properties of finite stochastic systems or
hidden Markov chains as they are alternatively called. We discuss their
construction following different approaches and we also derive recursive
filtering formulas for the different systems that we consider. The key tool is
a simple lemma on conditional expectations.

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