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

Preview

Download (186kB) | Preview

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.

Item Type:	Article
Keywords:	Stochastic; Stability; Estimation;
Academic Unit:	Faculty of Science and Engineering > Electronic Engineering
Item ID:	12732
Identification Number:	https://doi.org/10.1109/78.705429
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
URI:	Publisher
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

Repository Staff Only(login required)

Item control page

Downloads

Origin of downloads