Exponential forgetting and geometric ergodicity in state-space models

Proceedings of the IEEE Conference on Decision and Control

Volumn 2, Issue , 2002, Pages 2231-2235

  Tadíc, Vladislav B ^a   Doucet, Arnaud ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

DIGITAL FILTERS; MARKOV PROCESSES; MATHEMATICAL MODELS; PARAMETER ESTIMATION;

GEOMETRIC ERGODICITY; OPTIMAL FILTERING; STATE SPACE MODELS;

STATE SPACE METHODS;

EID: 0036990521     PISSN: 01912216     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (8)

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2. Atar R. & Zeitouni O. (1997) Exponential stability for nonlinear filtering. Ann. Instit. Henri Poincaré. 33, 697-725.
3. Del Moral P. & Guionnet A. (2001) On the stability of interacting processes with applications to filtering and genetic algorithms. Ann. Instit. Henri Poincaré. 37, 155-194.
4. Douc R. & Matias C. (2002), Asymptotics of the maximum likelihood estimator for general hidden Markov models, Bernoulli, to appear.
5. LeGland F. & Mevel L. (2000) Exponential forgetting and geometric ergodicity in hidden Markov models. Mathematics of Control, Signals and Systems, 13, 63-93.
6. LeGland F. & Oudjane N. (2001) Stability and uniform approximation of nonlinear filters using the Hilbert metric, and application to particle filters, Technical report, RR-4215, INRIA.
7. Pflug G. C. (1996) Optimization of Stochastic Models: The Interface between Simulation and Optimization, Kluwer Academic.
8. Tadić V. B. & Doucet A. (2002) Exponential Forgetting and Geometric Ergodicity for Optimal Filtering in General State-Space Models. Tehnical Report, Department of Electrical and Electronic Engineering, University of Melbourne.