Corpus ID: 204788626

Exponential Filter Stability via Dobrushin's Coefficien

  title={Exponential Filter Stability via Dobrushin's Coefficien},
  author={Curtis McDonald and Serdar Yuksel},
  journal={arXiv: Probability},
  • Curtis McDonald, Serdar Yuksel
  • Published 2019
  • Mathematics
  • arXiv: Probability
  • Filter stability is a classical problem in the study of partially observed Markov processes (POMP), also known as hidden Markov models (HMM). For a POMP, an incorrectly initialized non-linear filter is said to be (asymptotically) stable if the filter eventually corrects itself as more measurements are collected. Filter stability results in the literature that provide rates of convergence typically rely on very restrictive mixing conditions on the transition kernel and measurement kernel pair… CONTINUE READING

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