On robustness of discrete time optimal filters

DOI10.3103/S1066530716030042zbMath1365.60041arXiv1501.00190WikidataQ59892215 ScholiaQ59892215MaRDI QIDQ2396743

Alexander Yu. Veretennikov, Marina Kleptsyna

Publication date: 24 May 2017

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.00190

zbMATH Keywords

robustnessoptimal filteringdiscrete-time Markov processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric robustness (62G35) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (3)

Robustness to Incorrect System Models in Stochastic Control ⋮ On the stability of positive semigroups ⋮ Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control

Cites Work

• On discrete time ergodic filters with wrong initial data
• Rate of mixing and the averaging principles for stochastic recursive procedures
• Exponential stability for nonlinear filtering
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Parameter estimation and asymptotic stability in stochastic filtering
• A uniformly convergent adaptive particle filter
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