Stability of the nonlinear filter for slowly switching Markov chains
Probability
2007-05-23 v3 Dynamical Systems
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 incorrect initial condition is derived in the case of slowly switching signal.
Cite
@article{arxiv.math/0411596,
title = {Stability of the nonlinear filter for slowly switching Markov chains},
author = {P. Chigansky},
journal= {arXiv preprint arXiv:math/0411596},
year = {2007}
}
Comments
the final version