A decoupling Kalman filtering technique for optimal estimation of Markov chains
G. Chen, Y. Yauqi, Rui J. P. de Figueiredo · 1990
An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n*n stationary state-transition matrix, the resultant computational algorithm consists of only n-1 simple one-dimensional recursive formulas.>