Another look at Bayes map iterated filtering

Dao Nguyen

Statistics & Probability Letters, 2016, vol. 118, issue C, 32-36

Abstract: A new proof of convergence of Bayes map iterated filtering algorithm, based on supermartingale inequality, is proposed. Relying on log concavity assumption, this approach with verifiable conditions is simpler than the previous approach and is generalizable to more sophisticated algorithms. The assumption could be relaxed at the cost of more technical details.

Keywords: Iterated filtering; Bayes map; Hidden Markov model; Stochastic approximation; Time series (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2016.05.013

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