Uniform observability of hidden Markov models and filter stability for unstable signals

DOI10.1214/08-AAP576zbMath1165.93034arXiv0804.2885MaRDI QIDQ2389607

Ramon van Handel

Publication date: 17 July 2009

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

Full work available at URL: https://arxiv.org/abs/0804.2885

zbMATH Keywords

predictionobservabilityasymptotic stabilitynonlinear filteringuniform approximationhidden Markov modelsmerging of probability measures

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Continuous-time Markov processes on general state spaces (60J25) Observability (93B07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stochastic stability in control theory (93E15)

Related Items (7)

Robustness to Incorrect Priors and Controlled Filter Stability in Partially Observed Stochastic Control ⋮ A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains ⋮ Forgetting of the initial distribution for nonergodic hidden Markov chains ⋮ Sequential Monte Carlo smoothing for general state space hidden Markov models ⋮ Stability Properties of Systems of Linear Stochastic Differential Equations with Random Coefficients ⋮ Exponential forgetting of smoothing distributions for pairwise Markov models ⋮ Uniform time average consistency of Monte Carlo particle filters

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