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Fast Convergence Identification of Hidden Markov Models using Risk-Sensitive Filters

Thorne, Jeremy; Moore, John

Description

In this paper we derive recursive risk-sensitive filters which may be used for both on-line and off-line identification of hidden Markov models (HMMs). The identification is achieved by first taking risk-sensitive conditional mean estimates of the number

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/70462
Source: Nonlinear Analysis
DOI: 10.1016/S0362-546X(01)00369-8

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