An improved bound for the exponential stability of predictive filters of hidden Markov models

DOI10.4310/CIS.2007.V7.N2.A2MaRDI QIDQ936479zbMATH OpenFDO

Authors László Gerencsér, György Michaletzky, Gábor Molnár-Sáska

Publication date 14 August 2008

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.cis/1184963915

zbMATH Keywords

random mappingsrisk processesDoeblin-conditionL-mixing

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20)

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Cited in

(6)

• Exponential forgetting of smoothing distributions for pairwise Markov models
• Input-output properties of the Page-Hinkley detector
• Linear optimal prediction and innovations representations of hidden Markov models.
• Loss of memory of hidden Markov models and Lyapunov exponents
• Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
• Exponential stability of filters and smoothers for hidden Markov models

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