Parameter estimation and asymptotic stability in stochastic filtering

Anastasia Papavasiliou

Stochastic Processes and their Applications, 2006, vol. 116, issue 7, 1048-1065

Abstract: In this paper, we study the problem of estimating a Markov chain X (signal) from its noisy partial information Y, when the transition probability kernel depends on some unknown parameters. Our goal is to compute the conditional distribution process , referred to hereafter as the optimal filter. Following a standard Bayesian technique, we treat the parameters as a non-dynamic component of the Markov chain. As a result, the new Markov chain is not going to be mixing, even if the original one is. We show that, under certain conditions, the optimal filters are still going to be asymptotically stable with respect to the initial conditions. Thus, by computing the optimal filter of the new system, we can estimate the signal adaptively.

Keywords: Nonlinear; filtering; Asymptotic; stability; Consistency; of; Bayesian; estimator (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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