On filtering of Markov chains in strong noise
Probability
2007-06-13 v3 Statistics Theory
Statistics Theory
Abstract
The filtering problem for finite state Markov chains is revisited, when the intensity of the observation noise increases. We give a description of conditional measure concentration around the invariant distribution of the signal and derive asymptotic expressions for the performance indices of the MMSE and MAP filtering estimates.
Keywords
Cite
@article{arxiv.math/0508446,
title = {On filtering of Markov chains in strong noise},
author = {P. Chigansky},
journal= {arXiv preprint arXiv:math/0508446},
year = {2007}
}
Comments
correction of typos. to appear in IEEE Trans. Inf. Theory