Exponential forgetting and geometric ergodicity in hidden Markov models

DOI10.1007/PL00009861zbMATH Open0941.93053OpenAlexW2157721994MaRDI QIDQ1975240FDOQ1975240

Laurent Mevel, François Le Gland

Publication date: 24 July 2000

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00009861

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zbMATH Keywords

hidden Markov modelsmisspecified modelproduct of random matricesexponential forgettingprediction filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Random matrices (algebraic aspects) (15B52)

Cited In (48)

• Exponential stability in discrete-time filtering for non-ergodic signal.
• Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
• Hidden Markov model for parameter estimation of a random walk in a Markov environment
• Stability of nonlinear filters in nonmixing case
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Consistent order estimation for nonparametric hidden Markov models
• Practical stability of approximating discrete-time filters with respect to model mismatch
• Transportation inequalities for hidden Markov chains and applications
• Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
• Divide-and-conquer Bayesian inference in hidden Markov models
• Stability of optimal filter higher-order derivatives
• Approximation of stationary processes by hidden Markov models
• Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models
• Stability of the nonlinear filter for slowly switching Markov chains
• Effects of statistical dependence on multiple testing under a hidden Markov model
• Bias of Particle Approximations to Optimal Filter Derivative
• The likelihood ratio test for the number of components in a mixture with Markov regime
• On the stability of positive semigroups
• Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
• Large deviations for random dynamical systems and applications to hidden Markov models
• Exponential bounds for convergence of entropy rate approximations in hidden Markov models satisfying a path-mergeability condition
• Exponential forgetting of smoothing distributions for pairwise Markov models
• Statistical Inference for Partially Hidden Markov Models
• \(L^{1}\)-convergence of smoothing densities in non-parametric state space models
• Maximum likelihood estimator for hidden Markov models in continuous time
• Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
• Asymptotic behavior of Bayes estimators for hidden Markov models with application to ion channels
• On the accuracy of the MAP inference in HMMs
• Ergodic properties of the nonlinear filter.
• Stochastic Gradient MCMC for State Space Models
• Variational Bayesian analysis of nonhomogeneous hidden Markov models with long and ultralong sequences
• Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• On approximation of smoothing probabilities for hidden Markov models
• Efficient sensitivity analysis in hidden Markov models
• Estimate exponential memory decay in hidden Markov model and its applications to inference
• Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
• Stability of the filter with Poisson observations
• Consistency of Maximum Likelihood Parameter Estimation for Bivariate Markov Chains
• Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
• Consistency of the maximum likelihood estimator for general hidden Markov models
• Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
• Consistency of maximum likelihood estimation for some dynamical systems
• Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
• Ergodicity of hidden Markov models
• Gradient free parameter estimation for hidden Markov models with intractable likelihoods
• Title not available (Why is that?)
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

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