Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals

DOI10.1081/SAP-200056643zbMath1140.93485OpenAlexW2006515871MaRDI QIDQ5316797

Sylvain Rubenthaler, Nadia Oudjane

Publication date: 15 September 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200056643

zbMATH Keywords

stabilitymixingtotal variation normparticle filternonlinear filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (21)

Uniform observability of hidden Markov models and filter stability for unstable signals ⋮ Stability properties of some particle filters ⋮ Stability of Feynman-Kac formulae with path-dependent potentials ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Particle methods for statistical inference and design optimization ⋮ On the stability of positive semigroups ⋮ Forgetting of the initial distribution for nonergodic hidden Markov chains ⋮ Twisted particle filters ⋮ On discrete time ergodic filters with wrong initial data ⋮ Stability of the filter with Poisson observations ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Stability of nonlinear filters in nonmixing case ⋮ Uniform approximations of discrete-time filters ⋮ Stable Approximation Schemes for Optimal Filters ⋮ Long-term stability of sequential Monte Carlo methods under verifiable conditions ⋮ Forgetting the initial distribution for hidden Markov models ⋮ Stability of the optimal filter in continuous time: beyond the Beneš filter ⋮ Uniform time average consistency of Monte Carlo particle filters ⋮ Bias of Particle Approximations to Optimal Filter Derivative ⋮ Uniform Stability of a Particle Approximation of the Optimal Filter Derivative ⋮ On particle methods for parameter estimation in state-space models

Cites Work

• Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability for nonlinear filtering
• Exponential stability of discrete-time filters for bounded observation noise
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Exponential stability in discrete-time filtering for non-ergodic signal.
• Basic properties of the projective product with application to products of column-allowable nonnegative matrices
• Exponential forgetting and geometric ergodicity in hidden Markov models
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Lyapunov Exponents for Finite State Nonlinear Filtering
• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• On the stability of interacting processes with applications to filtering and genetic algorithms

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