Analyticity of Entropy Rates of Continuous-State Hidden Markov Models

DOI10.1109/TIT.2019.2935777zbMATH Open1433.62249arXiv1806.09589OpenAlexW2885846676MaRDI QIDQ5211550FDOQ5211550

Authors: Vladislav Tadić, Arnaud Doucet 

Publication date: 28 January 2020

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

Abstract: The analyticity of the entropy and relative entropy rates of continuous-state hidden Markov models is studied here. Using the analytic continuation principle and the stability properties of the optimal filter, the analyticity of these rates is shown for analytically parameterized models. The obtained results hold under relatively mild conditions and cover several classes of hidden Markov models met in practice. These results are relevant for several (theoretically and practically) important problems arising in statistical inference, system identification and information theory.

Full work available at URL: https://arxiv.org/abs/1806.09589

zbMATH Keywords

analytically parameterized modelsanalyticity of the entropy and relative entropy ratescontinuous-state hidden Markov models

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Measures of information, entropy (94A17)

Cited In (2)

• On Analytic Properties of Entropy Rate
• A note on a complex Hilbert metric with application to domain of analyticity for entropy rate of hidden Markov processes

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