کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527472 958866 2005 29 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models
چکیده انگلیسی
State-space models are a very general class of time series capable of modeling-dependent observations in a natural and interpretable way. We consider here the case where the latent process is modeled by a Markov chain taking its values in a continuous space and the observation at each point admits a distribution dependent of both the current state of the Markov chain and the past observation. In this context, under given regularity assumptions, we establish that (1) the filter, and its derivatives with respect to some parameters in the model, have exponential forgetting properties and (2) the extended Markov chain, whose components are the latent process, the observation sequence, the filter and its derivatives is geometrically ergodic. The regularity assumptions are typically satisfied when the latent process takes values in a compact space.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 115, Issue 8, August 2005, Pages 1408-1436
نویسندگان
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