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

DOI10.1016/j.spa.2005.03.005zbMath1074.60051OpenAlexW2089048182MaRDI QIDQ2387456

Vladislav B. Tadić, Arnaud Doucet

Publication date: 2 September 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.03.005

zbMATH Keywords

nonlinear filteringstate-space modelsprojective metric

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models ⋮ Estimation of agent-based models using sequential Monte Carlo methods ⋮ Stability of optimal filter higher-order derivatives ⋮ Effects of statistical dependence on multiple testing under a hidden Markov model ⋮ Stability of the filter with Poisson observations ⋮ Ergodicity of filtering process by vanishing discount approach ⋮ Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise ⋮ Gradient free parameter estimation for hidden Markov models with intractable likelihoods ⋮ Long-term stability of sequential Monte Carlo methods under verifiable conditions ⋮ Bias of Particle Approximations to Optimal Filter Derivative

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