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dc.contributor.author
Allan, Andrew
dc.date.accessioned
2021-07-26T13:36:08Z
dc.date.available
2021-07-15T10:28:07Z
dc.date.available
2021-07-26T13:06:12Z
dc.date.available
2021-07-26T13:36:08Z
dc.date.issued
2021
dc.identifier.issn
1083-6489
dc.identifier.other
10.1214/21-EJP633
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/494884
dc.identifier.doi
10.3929/ethz-b-000494884
dc.description.abstract
We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and analyze how the induced uncertainty may be propagated through time as we collect new observations, and used to simultaneously provide robust estimates of the hidden signal and to learn the unknown parameters, via techniques based on pathwise filtering and new results on the optimal control of rough differential equations.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Institute of Mathematical Statistics
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.subject
hidden Markov model
en_US
dc.subject
filtering
en_US
dc.subject
parameter uncertainty
en_US
dc.subject
rough paths
en_US
dc.subject
pathwise optimal control
en_US
dc.title
Robust filtering and propagation of uncertainty in hidden Markov models
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
dc.date.published
2021-05-25
ethz.journal.title
Electronic Journal of Probability
ethz.journal.volume
26
en_US
ethz.journal.abbreviated
Electron. J. Probab.
ethz.pages.start
73
en_US
ethz.size
37 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.grant
Mean-variance problems in mathematical finance: Beyond the classical theory
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Beachwood, OH
en_US
ethz.publication.status
published
en_US
ethz.grant.agreementno
184647
ethz.grant.fundername
SNF
ethz.grant.funderDoi
10.13039/501100001711
ethz.grant.program
Projektförderung in Mathematik, Natur- und Ingenieurwissenschaften (Abteilung II)
ethz.relation.isNewVersionOf
20.500.11850/464049
ethz.date.deposited
2021-07-15T10:29:34Z
ethz.source
WOS
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2021-07-26T13:36:27Z
ethz.rosetta.lastUpdated
2021-07-26T13:36:27Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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