Stability of the nonlinear filter for slowly switching Markov chains
classification
🧮 math.PR
math.DS
keywords
filteringmarkovnonlinearsignalslowlystabilityswitchingasymptotic
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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 incorrect initial condition is derived in the case of slowly switching signal.
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