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Stability of the nonlinear filter for slowly switching Markov chains |
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| Authors: | Pavel Chigansky |
| Institution: | Department of Mathematics, The Weizmann Institute of Science, Rehovot 76100, Israel |
| 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 an incorrect initial condition is derived in the case of a slowly switching signal. |
| Keywords: | Hidden Markov models Nonlinear filtering Lyapunov exponents Stability Kullback&ndash Leibler relative entropy |
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