Shue, L and Anderson, B. D. O. and Dey, Subhrakanti
(1998)
Exponential stability of filters and smoothers for hidden markov models.
IEEE Transactions on Signal Processing, 46 (8).
pp. 2180-2194.
ISSN 1053-587X
Abstract
In this paper, we address the problem of exponential stability of filters and fixed-lag smoothers for discrete-time
and discrete-state Hidden Markov Models (HMMs). By
appealing to a generalised Perron-Frobenius result for
nonnegative matrices, we demonstrate exponential forgetting for both the recursive filters and smoothers, and
obtain overbounds on the rate of forgetting. Simulation
studies are carried out to substantiate the results.
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