Exponential stability in discrete-time filtering for non-ergodic signal.

DOI10.1016/S0304-4149(99)00032-0MaRDI QIDQ1613615zbMATH OpenOpenAlexWikidataFDO

Authors Amarjit Budhiraja, Daniel L. Ocone

Publication date 29 August 2002

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

Full work available at URL https://doi.org/10.1016/s0304-4149(99)00032-0

zbMATH Keywords

asymptotic stabilitynonlinear filteringdiscrete filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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• Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
• Asymptotic stability of beneš filters
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Exponential stability for nonlinear filtering
• Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
• Exponential stability of discrete-time filters for bounded observation noise
• Lyapunov Exponents for Finite State Nonlinear Filtering
• Relative entropy and error bounds for filtering of Markov processes
• Robustness of Nonlinear Filters Over the Infinite Time Interval

Cited in

(27)

• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Stability of nonlinear filters in nonmixing case
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• On discrete time ergodic filters with wrong initial data
• Exponential asymptotic stability of time-varying inverse prediction error filters
• Forgetting the initial distribution for hidden Markov models
• Practical stability of approximating discrete-time filters with respect to model mismatch
• Exponential filter stability via Dobrushin's coefficient
• Wavelet-Galerkin method for the Kolmogorov equation
• A note on exponential stability of the nonlinear filter for denumerable Markov chains
• Parameter estimation and asymptotic stability in stochastic filtering
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Robustness to Incorrect Priors in Partially Observed Stochastic Control
• Ergodic properties of the nonlinear filter.
• New classes of finite-dimensional nonlinear filters
• Stability of the discrete time filter in terms of the tails of noise distributions
• Integration of the linear filtering problem by means of canonical transformations
• New exact nonlinear filters with large Lie algebras
• Stability of the filter with Poisson observations
• Stability of non-linear filter for deterministic dynamics
• Nonlinear filtering problems with finite-dimensional matrix estimation algebras
• Optimal filter realization for a class of nonlinear systems with finite- dimensional estimation algebra
• Forgetting of the initial distribution for nonergodic hidden Markov chains
• An ergodic theorem for filtering with applications to stability
• On Stability of a Class of Filters for Nonlinear Stochastic Systems
• Uniform observability of hidden Markov models and filter stability for unstable signals
• On nonergodicity for nonparametric autoregressive models

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