A simple proof of Kaijser's unique ergodicity result for hidden Markov -chains

DOI10.1214/105051606000000367MaRDI QIDQ997404zbMATH OpenOpenAlexFDO

Authors Fred Kochman, James A. Reeds

Publication date 6 August 2007

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702248

zbMATH Keywords

ergodicityhidden Markov modelsuniform mean stabilitye-chain

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete-time Markov processes on general state spaces (60J05) Limit theorems in probability theory (60F99)

Abstract: According to a 1975 result of T. Kaijser, if some nonvanishing product of hidden Markov model (HMM) stepping matrices is subrectangular, and the underlying chain is aperiodic, the corresponding $alpha$-chain has a unique invariant limiting measure $lambda$. Here the $alpha$-chain $alph{a}_n=(alph{a}_{ni})$ is given by [alpha_{ni}=P(X_n=i| Y_n,Y_{n-1},...),] where $(X_n,Y_n)$ is a finite state HMM with unobserved Markov chain component $X_n$ and observed output component $Y_n$. This defines $alph{a}_n$ as a stochastic process taking values in the probability simplex. It is not hard to see that $alph{a}_n$ is itself a Markov chain. The stepping matrices $M(y)=(M(y{)}_{ij})$ give the probability that $(X_n,Y_n)=(j,y)$, conditional on $X_{n-1}=i$. A matrix is said to be subrectangular if the locations of its nonzero entries forms a cartesian product of a set of row indices and a set of column indices. Kaijser's result is based on an application of the Furstenberg--Kesten theory to the random matrix products $M(Y_1)M(Y_2)\mathrm{...}M(Y_n)$. In this paper we prove a slightly stronger form of Kaijser's theorem with a simpler argument, exploiting the theory of e chains.

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Cited in

(7)

• Long run control with degenerate observation
• Effects of statistical dependence on multiple testing under a hidden Markov model
• A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains
• On convergence in distribution of the Markov chain generated by the filter kernel induced by a fully dominated hidden Markov model
• Observability and nonlinear filtering
• Another look at partially observed optimal stochastic control: existence, ergodicity, and approximations without belief-reduction
• On Markov chains induced by partitioned transition probability matrices

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