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Markov-modulated multivariate linear regression
2017
Acta et Commentationes Universitatis Tartuensis de Mathematica
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The article concerns parameter estimation for the Markovmodulated multivariate linear regression model. It is supposed that the parameters of the linear regression are dependent from states of a random environment. The last is described as a continuous-time homogeneous irreducible Markov chain with known parameters. The procedure of estimating the regression parameters is established.
doi:10.12697/acutm.2017.21.03
fatcat:bhv4akl2wfgbhpmn6cyvjbkz3u