Exponential stability in discrete-time filtering for non-ergodic signal. (Q1613615): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 05:04, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Exponential stability in discrete-time filtering for non-ergodic signal. |
scientific article |
Statements
Exponential stability in discrete-time filtering for non-ergodic signal. (English)
0 references
29 August 2002
0 references
A discrete-time filtering model is considered where the signal and the observation process are given as follows: \[ X_n=a(X_{n-1})+b(X_{n-1})\xi _n,\quad n\geq 1 \] and \[ Y_n=X_n+\sigma \nu _n,\quad n\geq 1 \] where \(X_0\) is an \(\mathbb R^d\)-valued random variable and the coefficients \(a:\mathbb R^d\to \mathbb R^d\) and \(b:\mathbb R^d \to \mathbb R^{d\times d}\) are measurable maps. It is shown that, under appropriate conditions on coefficients, the total variation distance between the optimal filter and an incorrectly initialized filter converges to zero almost surely exponentially fast as time approaches infinity if \(\sigma \) is sufficiently small.
0 references
nonlinear filtering
0 references
asymptotic stability
0 references
discrete filtering
0 references