I left these areas more than 10 years ago…. Some day, I shall return…
Related Papers
- V. Krishnamurthy, E Leoff, J. Sass, Filterbased stochastic volatility in continuous-time hidden Markov models, Econometrics and Statistics, Nov 2016.
- 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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.