Stability of the nonlinear filter for slowly switching Markov chains

Pavel Chigansky

doi:10.1016/j.spa.2006.02.007

Stability of the nonlinear filter for slowly switching Markov chains

Pavel Chigansky^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Exponential stability of the nonlinear filtering equation is revisited, when the signal is a finite state Markov chain. An asymptotic upper bound for the filtering error due to an incorrect initial condition is derived in the case of a slowly switching signal.

Original language	English
Pages (from-to)	1185-1194
Number of pages	10
Journal	Stochastic Processes and their Applications
Volume	116
Issue number	8
DOIs	https://doi.org/10.1016/j.spa.2006.02.007
State	Published - Aug 2006
Externally published	Yes

Bibliographical note

Funding Information:
The author is grateful to Rami Atar for elaborations on [1] and useful comments regarding the results of this paper. The research was supported by a grant from the Israel Science Foundation.

Keywords

Hidden Markov models
Kullback-Leibler relative entropy
Lyapunov exponents
Nonlinear filtering
Stability

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10.1016/j.spa.2006.02.007

Cite this

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title = "Stability of the nonlinear filter for slowly switching Markov chains",

abstract = "Exponential stability of the nonlinear filtering equation is revisited, when the signal is a finite state Markov chain. An asymptotic upper bound for the filtering error due to an incorrect initial condition is derived in the case of a slowly switching signal.",

keywords = "Hidden Markov models, Kullback-Leibler relative entropy, Lyapunov exponents, Nonlinear filtering, Stability",

author = "Pavel Chigansky",

note = "Funding Information: The author is grateful to Rami Atar for elaborations on [1] and useful comments regarding the results of this paper. The research was supported by a grant from the Israel Science Foundation.",

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AB - Exponential stability of the nonlinear filtering equation is revisited, when the signal is a finite state Markov chain. An asymptotic upper bound for the filtering error due to an incorrect initial condition is derived in the case of a slowly switching signal.

KW - Hidden Markov models

KW - Kullback-Leibler relative entropy

KW - Lyapunov exponents

KW - Nonlinear filtering

KW - Stability

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ER -

Stability of the nonlinear filter for slowly switching Markov chains

Abstract

Bibliographical note

Keywords

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