Inference in Hidden Markov Models (Hardcover, 1st ed. 2005. Corr. 2nd printing 2007)

Hidden Markov models have become a widely used class of statistical models with applications in diverse areas such as communications engineering, bioinformatics, finance and many more. This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory. Topics range from filtering and smoothing of the hidden Markov chain to parameter estimation, Bayesian methods and estimation of the number of states. In a unified way the book covers both models with finite state spaces, which allow for exact algorithms for filtering, estimation etc. and models with continuous state spaces (also called state-space models) requiring approximate simulation-based algorithms that are also described in detail. Simulation in hidden Markov models is addressed in five different chapters that cover both Markov chain Monte Carlo and sequential Monte Carlo approaches. Many examples illustrate the algorithms and theory. The book also carefully treats Gaussian linear state-space models and their extensions and it contains a chapter on general Markov chain theory and probabilistic aspects of hidden Markov models. This volume will suit anybody with an int background, while the more theoretical parts require knowledge of probability theory at the measure-theoretical level.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Springer Series in Statistics
Release date:	2007
First published:	2005
Authors:	Olivier Cappe • Eric Moulines • Tobias Ryden
Dimensions:	235 x 155 x 42mm (L x W x T)
Format:	Hardcover
Pages:	653
Edition:	1st ed. 2005. Corr. 2nd printing 2007
ISBN-13:	978-0-387-40264-2
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling Books > Professional & Technical > Electronics & communications engineering > Communications engineering / telecommunications > General Promotions
LSN:	0-387-40264-0
Barcode:	9780387402642

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