On convergence in distribution of the Markov chain generated by the filter kernel induced by a fully dominated hidden Markov model

DOI10.4064/DM739-9-2015MaRDI QIDQ2804316zbMATH OpenOpenAlexFDO

Authors Thomas Kaijser

Publication date 28 April 2016

Published in Dissertationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.5797

zbMATH Keywords

hidden Markov modelsMarkov chainsconvergence in distributionbarycenterKantorovich distancefiltering processesnonlocally compact spaces

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05)

Abstract: Consider a filtering process associated to a hidden Markov model with densities for which both the state space and the observation space are complete, separable, metric spaces. If the underlying, hidden Markov chain is strongly ergodic and the filtering process fulfills a certain coupling condition we prove that, in the limit, the distribution of the filtering process is independent of the initial distribution of the hidden Markov chain. If furthermore the hidden Markov chain is uniformly ergodic, then we prove that the filtering process converges in distribution.

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Cited in

(1)

• Long run control with degenerate observation

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