Markov-modulated multivariate linear regression
Keywords: Continuous-time Markov chain, multivariate linear regression, point estimation
AbstractThe 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.
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