A filter for a hidden Markov chain observed in fractional Gaussian noise

  • Elliott R
  • Deng J
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Abstract

Estimates of parameters and hidden states in a hidden Markov model, where the noise in the observations is fractional Gaussian noise, are obtained. © 2010 Elsevier B.V. All rights reserved.

Author-supplied keywords

  • Filtering
  • Fractional white noise
  • Viterbi algorithm

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