The Viterbi Algorithm for Models of Hidden Markov Processes with the Unknown Moment of Appearance of Parameter Jump

The methods of the theory of optimal nonlinear filtering of the Markov processes is used to develop the Viterbi algorithm for obtaining optimal estimates of a sequence of hidden states in the model of discrete-value Markov processes generalized to the case of jump-like changing parameters with an unknown time of the jump appearance. The results of numerical simulation of the algorithm performance are given. __________ Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 48, No. 4, pp. 358–366, April 2005.