A Framework for Mixed Estimation of Hidden Markov Models
Subhrakanti Dey, Steven I. Marcus · 1998
tivation behind formulating and solving such problems are given below.In this paper, we present a framework for a mixed estimation scheme for hidden Markov models (HMM).A robust estimation scheme is first presented using the minimax method that minimizes a worst case cost for HMMs with bounded uncertainties.Then we present a mixed estimation scheme that minimizes a risk-neutral cost with a constraint on the worst-case cost.Some simulation results are also presented to compare these different estimation schemes in cases of uncertainties in the noise model.