Title :
Stability of the nonlinear filter for slowly switching HMM
Author :
Chigansky, Pavel
Author_Institution :
Department of Mathematics, The Weizmann Institute of Science, Rehovot 76100, Israel, pavel. chigansky@weizmann.ac.il
Abstract :
Stability of the nonlinear filtering equation is revisited in the case, when the signal is a finite state space Markov chain with slow transitions rate. The derived formulae reveal surprising properties of the stability exponent.
Keywords :
Convergence; Density measurement; Filtering; Hidden Markov models; Nonlinear equations; Nonlinear filters; Probability; Stability; State-space methods; White noise;
Conference_Titel :
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN :
0-7803-9567-0
DOI :
10.1109/CDC.2005.1582212
