Inference in Hidden Markov Models (Hardcover, 2005. Corr. 2nd)

Main Definitions and Notations.- Main Definitions and Notations.- State Inference.- Filtering and Smoothing Recursions.- Advanced Topics in Smoothing.- Applications of Smoothing.- Monte Carlo Methods.- Sequential Monte Carlo Methods.- Advanced Topics in Sequential Monte Carlo.- Analysis of Sequential Monte Carlo Methods.- Parameter Inference.- Maximum Likelihood Inference, Part I: Optimization Through Exact Smoothing.- Maximum Likelihood Inference, Part II: Monte Carlo Optimization.- Statistical Properties of the Maximum Likelihood Estimator.- Fully Bayesian Approaches.- Background and Complements.- Elements of Markov Chain Theory.- An Information-Theoretic Perspective on Order Estimation.