Abstract
We study the stability of the optimal filter w.r.t. its initial condition and w.r.t. the model for the hidden state and the observations in a general hidden Markov model, using the Hilbert projective metric. These stability results are then used to prove, under some mixing assumption, the uniform convergence to the optimal filter of several particle filters, such as the interacting particle filter and some other original particle filters.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.