Stability of nonlinear filters in nonmixing case

DOI10.1214/105051604000000873zbMath1065.93034arXivmath/0304056OpenAlexW3105388688MaRDI QIDQ1769423

Pavel Chigansky, Robert Sh. Liptser

Publication date: 21 March 2005

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

Full work available at URL: https://arxiv.org/abs/math/0304056

zbMATH Keywords

stabilitynonlinear filteringergodic Markov chainmixing condition

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15) Multiplicative functionals and Markov processes (60J57)

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Interacting and annealing particle filters: mathematics and a recipe for applications ⋮ A note on exponential stability of the nonlinear filter for denumerable Markov chains ⋮ \(L^{1}\)-convergence of smoothing densities in non-parametric state space models ⋮ On the stability of positive semigroups ⋮ Effects of statistical dependence on multiple testing under a hidden Markov model ⋮ Exponential filter stability via Dobrushin's coefficient ⋮ On discrete time ergodic filters with wrong initial data ⋮ Sequential Monte Carlo smoothing for general state space hidden Markov models ⋮ Stability of the filter with Poisson observations ⋮ Ergodicity of filtering process by vanishing discount approach ⋮ Stability of the nonlinear filter for slowly switching Markov chains ⋮ Parameter estimation and asymptotic stability in stochastic filtering ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models ⋮ Exponential bounds for convergence of entropy rate approximations in hidden Markov models satisfying a path-mergeability condition ⋮ Forgetting the initial distribution for hidden Markov models

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