Iterated function systems arising from recursive estimation problems

DOI10.1007/BF01194492MaRDI QIDQ1187103zbMATH OpenFDO

Authors John H. Elton, Mauro Piccioni

Publication date 28 June 1992

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01194492

zbMATH Keywords

attractorinfinite memory of the past observationsone-step predictor

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Review text

We show that under suitable conditions the one-step predictor of a finite-state Markov chain from noisy observations has a unique stationary law which is supported by a self-similar set, called the attractor. Under additional symmetry conditions such attractor is either connected, or totally disconnected and perfect. In this latter case the predictor keeps an infinite memory of the past observations. The main problem of interest is to identify those values of the parameters of the chain and the observation process for which this happens. In the binary case, the problem is completely solved. In higher dimension the problem is harder: a complete solution is presented for ternary chains in the completely symmetric persistent case.

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Cites work

• scientific article; zbMATH DE number 3964277 (Why is no real title available?)
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Cited in

(15)

• On a theorem of Karlin
• Random dynamical systems arising from iterated function systems with place-dependent probabilities
• Sensitivity of iterated function systems
• Sensitivity of iterated function systems under the product operation
• Transitivity and sensitivity of iterated function systems via Furstenberg families
• A remark on sensitivity and Li-Yorke sensitivity of iterated function systems
• Shift limits of a non-autonomous system
• scientific article; zbMATH DE number 4016222 (Why is no real title available?)
• scientific article; zbMATH DE number 8233 (Why is no real title available?)
• On thedimension of the predictive process of a memoryless channel
• Asymptotic behaviors of randomly perturbed dynamical systems
• Hypercyclic operators for iterated function systems
• Applications of fixed point theorems in the theory of generalized IFS
• Generalized IFSs on noncompact spaces
• Approximation of infinite dimensional fractals generated by integral equations

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