Stability of the nonlinear filter for slowly switching Markov chains

Pavel Chigansky

Stochastic Processes and their Applications, 2006, vol. 116, issue 8, 1185-1194

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; Nonlinear; filtering; Lyapunov; exponents; Stability; Kullback-Leibler; relative; entropy (search for similar items in EconPapers)
Date: 2006
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