Stability of the nonlinear filter for slowly switching Markov chains

被引：3

作者：

Chigansky, Pavel ^{[1
]}

机构：

[1] Weizmann Inst Sci, Dept Math, IL-76100 Rehovot, Israel

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 08期

基金：

以色列科学基金会;

关键词：

hidden Markov models; nonlinear filtering; Lyapunov exponents; stability; Kullback-Leibler relative entropy;

D O I：

10.1016/j.spa.2006.02.007

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Exponential stability of the nonlinear filtering equation is revisited, when the signal is a finite state Markov chain. An asymptotic upper bound for the filtering error due to an incorrect initial condition is derived in the case of a slowly switching signal. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：1185 / 1194

页数：10

共 11 条

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