Markov-modulated multivariate linear regression

  • Alexander Andronov Transport and Telecommunication Institute, Lomonosova Str.1, Riga
Keywords: Continuous-time Markov chain, multivariate linear regression, point estimation

Abstract

The article concerns parameter estimation for the Markov-modulated 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.
Published
2017-07-03
Section
Articles