Analyticity of entropy rate in families of hidden markov chains

Abstract

We prove that under mild assumptions a hidden Markov chain varies analytically, in a strong sense, as a function of the underlying Markov chain parameters. In particular, we show that, under these assumptions, the entropy rate of a hidden Markov chain is an analytic function of the parameters. We give examples to show how this can fail in some cases. And we study two natural special classes of hidden Markov chains in more detail: binary hidden Markov chains with an unambiguous symbol and binary Markov chains corrupted by binary symmetric noise