Stability of the optimal filter in a hidden Markov model with multiplicative noise
Probability
2013-01-21 v1 Dynamical Systems
Abstract
We consider a hidden Markov model with multiplicative noise emerging from studies of software reliability. We show the stability of the optimal filter with respect to general initial conditions in the total variation- and -norm and deduce explicit rates. Remarkably, stability turns out to be independent of the ergodic behavior of the signal.
Cite
@article{arxiv.1301.4428,
title = {Stability of the optimal filter in a hidden Markov model with multiplicative noise},
author = {Birgit Debrabant and Wilhelm Stannat},
journal= {arXiv preprint arXiv:1301.4428},
year = {2013}
}
Comments
11 pages