A variational approach to path estimation and parameter inference of hidden diffusion processes

3 Aug 2015Tobias SutterArnab GangulyHeinz Koeppl

We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal process given the full set of observations... (read more)

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