Ergodicity and stability of the conditional distributions of nondegenerate Markov chains

DOI10.1214/11-AAP800zbMath1252.60069arXiv1101.1822MaRDI QIDQ453244

Xin Thomson Tong, Ramon van Handel

Publication date: 19 September 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.1822

zbMATH Keywords

asymptotic stabilitynonlinear filteringunique ergodicityexchange of intersection and supremumMarkov chain in random environmentnondegenerate Markov chains

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Stochastic stability in control theory (93E15) Measure-theoretic ergodic theory (28D99)

Related Items (5)

Particle Filters for nonlinear data assimilation in high-dimensional systems ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models ⋮ Existence of infinite Viterbi path for pairwise Markov models ⋮ Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation ⋮ Stochastic Gradient MCMC for State Space Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The stability of conditional Markov processes and Markov chains in random environments
• Uniform time average consistency of Monte Carlo particle filters
• Asymptotic stability, ergodicity and other asymptotic properties of the nonlinear filter.
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• On invariant measures of discrete time filters in the correlated signal-noise case
• On the exchange of intersection and supremum of \({\sigma}\)-fields in filtering theory
• Inference in hidden Markov models.
• Ergodicity of hidden Markov models
• Some Limit Theorems for Random Functions. I
• Markov Chains and Stochastic Stability
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• An Operator Theorem on $L_1$ Convergence to Zero with Applications to Markov Kernels
• Real Analysis and Probability
• Exercises in Probability
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition

This page was built for publication: Ergodicity and stability of the conditional distributions of nondegenerate Markov chains