Asymptotic filtering for finite state Markov chains

Rafail Khasminskii and Ofer Zeitouni

Stochastic Processes and their Applications, 1996, vol. 63, issue 1, 1-10

Abstract: Asymptotic formulae for the optimal filtering error for finite state space Markov chains observed in independent noise are presented. Asymptotically optimal simple filters, which do not depend on the transition rates of the chain, are also presented.

Keywords: Nonlinear; filtering; Hypothesis; testing; Markov; chains (search for similar items in EconPapers)
Date: 1996
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