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    Exponential stability of filters and smoothers for hidden markov models

    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

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    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.

    Item Type: Article
    Keywords: Stochastic; Stability; Estimation;
    Academic Unit: Faculty of Science and Engineering > Electronic Engineering
    Item ID: 12732
    Identification Number:
    Depositing User: Subhrakanti Dey
    Date Deposited: 09 Apr 2020 10:14
    Journal or Publication Title: IEEE Transactions on Signal Processing
    Publisher: Institute of Electrical and Electronics Engineers
    Refereed: Yes
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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