Ergodicity of hidden Markov models

@article{Masi2005ErgodicityOH,
  title={Ergodicity of hidden Markov models},
  author={Giovanni B. Di Masi and Lukasz Stettner},
  journal={MCSS},
  year={2005},
  volume={17},
  pages={269-296}
}
In this paper we study ergodic properties of hidden Markov models with a generalized observation structure. In particular sufficient conditions for the existence of a unique invariant measure for the pair filter-observation are given. Furthermore, necessary and sufficient conditions for the existence of a unique invariant measure of the triple state-observation-filter are provided in terms of asymptotic stability in probability of incorrectly initialized filters. We also study the asymptotic… CONTINUE READING

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