Hidden Markov Models, EM Algorithms, Nonlinear Filtering

I left these areas more than 10 years ago…. Some day, I shall return…

Related Papers

  1. V. Krishnamurthy, E Leoff, J. Sass, Filterbased stochastic volatility in continuous-time hidden Markov models, Econometrics and Statistics, Nov 2016.
  2. C.D. Charalambous, R.J. Elliott, V. Krishnamurthy, Conditional Moment Generating Functions for Integrals and Stochastic Integrals, SIAM Journal of Control and Optimization, Vol.42, No.5, pp.1578-1603, 2003.
  3. V. Krishnamurthy and R.J. Elliott, Robust Continuous-time Smoothers – without two- sided stochastic integrals, IEEE Trans Automatic Control, Vol.47. No.11, pp.1824– 1841, November 2002.

  4. V. Krishnamurthy and G. Yin, Recursive Algorithms for Estimation of Hidden Markov Models and Autoregressive Models with Markov Regime, IEEE Transactions on Information Theory, Vol.48, No.2, pp.458-476, Feb 2002.

  5. A. Doucet, N.J. Gordon and V. Krishnamurthy, Particle Filters for State Estimation of Jump Markov Linear Systems, IEEE Transactions Signal Processing, Vol.49, No.3, pp.613–624, March 2001.

  6. S. Challa, Y. Bar-Shalom, V. Krishnamurthy, Nonlinear Filtering via Generalized Edgeworth Series and Gauss Hermite Quadrature, IEEE Transactions on Signal Processing, Vol.48, No.6, pp.1816–1820, June 2000.

  7. R.J. Elliott and V. Krishnamurthy, New Finite dimensional Filters for Estimation of Linear Gauss-Markov Models, IEEE Transactions Auto Control, Vol.44, No.5, pp.938– 951, May 1999.

  8. V. Krishnamurthy, T. Ryden, Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime, Journal of Time Series Analysis, Vol.19, No.3, pp.291–308, May 1998.

  9. R.J. Elliott, V. Krishnamurthy, Exact Finite Dimensional Filters for Maximum Likelihood Parameter Estimation of Continuous-time Linear-Gaussian Systems, SIAM Journal on Control and Optimization, Vol.35, No.6, November 1997, pp 1908-1923.

  10. A. Logothetis, V. Krishnamurthy, Expectation Maximization Algorithms for MAP Estimation of Jump Markov Linear Systems, IEEE Transactions Signal Processing, Vol.47, No.8, pp.2139–2156, August 1999.

  11. M.R. James, V. Krishnamurthy, F. LeGland, Time Discretization of Continuous-Time Filters and Smoothers for HMM Parameter Estimation, IEEE Transactions Information Theory, Vol.32, No.2, pp 593-605 March 1996.

  12. V. Krishnamuthy, A. Logothetis, Iterative and Recursive Estimators for Hidden Markov Errors-in-variables Models, IEEE Transactions Signal Processing, Vol.44, No.3, pp.629- 639, March 1996.

  13. V. Krishnamurthy, J.B. Moore, On-line Estimation of Hidden Markov Model Parame- ters based on the Kullback–Leibler Information Measure, IEEE Transactions on Signal Processing, Vol. 41, No. 8, pp. 2557-2573, August, 1993.