Stability of the discrete time filter in terms of the tails of noise distributions
DOI10.1112/JLMS/JDN032zbMATH Open1148.93036OpenAlexW2129285368MaRDI QIDQ3531446FDOQ3531446
Publication date: 31 October 2008
Published in: Journal of the London Mathematical Society (Search for Journal in Brave)
Full work available at URL: http://www.esaim-proc.org/10.1051/proc:071910/pdf
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic stability in control theory (93E15)
Cited In (15)
- Asymptotic behavior of the forecast-assimilation process with unstable dynamics
- Practical stability of approximating discrete-time filters with respect to model mismatch
- Ergodicity and accuracy of optimal particle filters for Bayesian data assimilation
- Exponential filter stability via Dobrushin's coefficient
- Stability of Feynman-Kac formulae with path-dependent potentials
- Long-term stability of sequential Monte Carlo methods under verifiable conditions
- On the stability of positive semigroups
- Uniform approximations of discrete-time filters
- Stability of the discrete time filter in terms of the tails of noise distributions
- Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
- Long-time asymptotics of the filtering distribution for partially observed chaotic dynamical systems
- Forgetting of the initial distribution for nonergodic hidden Markov chains
- Uniform observability of hidden Markov models and filter stability for unstable signals
- Stable Approximation Schemes for Optimal Filters
- Numerically stable online estimation of variance in particle filters
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