ASYMPTOTIC FILTERING FOR FINITE-STATE MARKOV-CHAINS

Authors
KHASMINSKII R ZEITOUNI O
Citation
R. Khasminskii et O. Zeitouni, ASYMPTOTIC FILTERING FOR FINITE-STATE MARKOV-CHAINS, Stochastic processes and their applications, 63(1), 1996, pp. 1-10
Citations number
5
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
63
Issue
1
Year of publication
1996
Pages
1 - 10
Database
ISI
SICI code
0304-4149(1996)63:1<1:AFFFM>2.0.ZU;2-1
Abstract
Asymptotic formulae for the optimal filtering error for finite state s pace Markov chains observed in independent noise are presented. Asympt otically optimal simple filters, which do not depend on the transition rates of the chain, are also presented.