Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models (Q2387456)

State-space models are widely used in many scientific fields. This paper considers the case where the latent process is modeled by a Markov chain taking its values in a continuous space, and the observation at each point admits a distribution dependent of both the current state of the Markov chain and the past observation. In this context, under given regularity assumptions, the optimal filter and its derivatives with respect to some parameters in the model are defined. The regularity assumptions are typically satisfied when the latent process takes values in a compared space. The results on the exponential forgetting of the filter and its derivatives are presented. The results on the exponential geometric ergodicity of the extended Markov chain whose components are the latent process, the observation sequence, the filter and its derivatives are given.