Exact filtering in conditionally Markov switching hidden linear models
Wojciech Pieczynski · Comptes Rendus Mathématique · 2011
In the classical setup of Markov switching hidden linear systems, the exact evaluation of optimal filters requires computations with complexity increasing exponentially with respect to the number of observations. In the present article, we propose a new family of models which overcome this difficulty, and render practically feasible these calculations.