Asymptotic filtering for finite state Markov chains

DOI10.1016/0304-4149(96)00060-9MaRDI QIDQ1363461zbMATH OpenOpenAlexFDO

Authors R. Z. Khas'minskiĭ, Ofer Zeitouni

Publication date 7 August 1997

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(96)00060-9

zbMATH Keywords

hypothesis testingMarkov chainsnonlinear filtering

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

Review text

Let \(\{X_n^{\varepsilon }\}\) be a discrete time Markov chain with state space \(S=\{1,\dots ,d\}\), initial distribution \(p_0^{\varepsilon }\), and transition probabilities \(\pi _{ij}^{\varepsilon }=\varepsilon \lambda _{ij}\) \((i\neq j)\), \(\pi _{ii}^{\varepsilon }=1-\varepsilon \lambda _{ii}\). It is assumed that the chain is irreducible and aperiodic. Let the observations \(\{y_n^{\varepsilon }\}_{n=1}^{\infty }\), given \(\{X_n^{\varepsilon }\}_{n=1}^{\infty }\), be independent, with \(P\left (y_n^{\varepsilon }\in dx |\{X_i^{\varepsilon }\}_{n=1}^{\infty }\right )=P\left (y_n^{\varepsilon }\in dx|X_n^{\varepsilon }\right )\), \(P\left (y_n^{\varepsilon }\in dx|X_n^{\varepsilon }=i\right )=\mu _i(dx)\). Define \({\mathcal F}_{y,n}= \sigma \{y_i^{\varepsilon }, 1\leq i\leq n\}\). The filtering means to find the best estimator \(\tilde X_n\) for \(X_n^{\varepsilon }\) given \({\mathcal F}_{y,n}\). The authors present asymptotic formulas for the filtering error \(P_e^{\varepsilon , n}= E\left (1_{X_n^{\varepsilon }\neq \tilde X_n}\right )\). Asymptotically optimal filters are also introduced, which do not depend on the transition rates of the chain.

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Cites work

• scientific article; zbMATH DE number 410740 (Why is no real title available?)
• scientific article; zbMATH DE number 3852087 (Why is no real title available?)
• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
• On some filtration procedure for jump Markov process observed in white Gaussian noise
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering

Cited in

(16)

• A Kalman filtering technique for certain Markov chains
• Filtering with discrete state observations
• On filtering for a hidden Markov chain under square performance criterion
• Exponential forgetting of smoothing distributions for pairwise Markov models
• Stability of the nonlinear filter for slowly switching Markov chains
• scientific article; zbMATH DE number 431865 (Why is no real title available?)
• scientific article; zbMATH DE number 4176949 (Why is no real title available?)
• On Filtering of Markov Chains in Strong Noise
• New finite-dimensional filters and smoothers for noisily observed Markov chains
• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
• Linear filtering with fractional noises: large time and small noise asymptotics
• Rényi divergence in hidden Markov models
• To spike or not to spike: the whims of the Wonham filter in the strong noise regime
• An ergodic theorem for filtering with applications to stability
• On the entropy of a hidden Markov process
• Filtering of continuous-time Markov chains

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