On Filtering of Markov Chains in Strong Noise

DOI10.1109/TIT.2006.880042MaRDI QIDQ3548068zbMATH OpenOpenAlexFDO

Authors Pavel Chigansky

Publication date 21 December 2008

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0508446

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: The filtering problem for finite state Markov chains is revisited, when the intensity of the observation noise increases. We give a description of conditional measure concentration around the invariant distribution of the signal and derive asymptotic expressions for the performance indices of the MMSE and MAP filtering estimates.

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• Weak Convergence of Hybrid Filtering Problems Involving Nearly Completely Decomposable Hidden Markov Chains
• To spike or not to spike: the whims of the Wonham filter in the strong noise regime
• An ergodic theorem for filtering with applications to stability
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