Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach

DOI10.1214/EJP.v14-593zbMath1189.93137arXiv0712.0285OpenAlexW1992905257MaRDI QIDQ1039093

Randal Douc, Eric Moulines, Ya'acov Ritov

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.0285

zbMATH Keywords

stabilityhidden Markov chaincouplingnon-linear filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic stability in control theory (93E15)

Related Items (8)

On the stability of positive semigroups ⋮ Loss of memory of hidden Markov models and Lyapunov exponents ⋮ Particle Gaussian mixture filters. I. ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models ⋮ The stability of conditional Markov processes and Markov chains in random environments ⋮ Stochastic Gradient MCMC for State Space Models ⋮ On particle methods for parameter estimation in state-space models

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