Forgetting of the initial distribution for Hidden Markov Models
نویسندگان
چکیده
The forgetting of the initial distribution for discrete Hidden Markov Models (HMM) is addressed: a new set of conditions is proposed, to establish the forgetting property of the filter, at a polynomial and geometric rate. Both a pathwise-type convergence of the total variation distance of the filter started from two different initial distributions , and a convergence in expectation are considered. The results are illustrated using different HMM of interest: the dynamic tobit model, the non-linear state space model and the stochastic volatility model. variation norm.
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M ar 2 00 7 Forgetting of the initial distribution for Hidden Markov Models 1
The forgetting of the initial distribution for discrete Hidden Markov Models (HMM) is addressed: a new set of conditions is proposed, to establish the forgetting property of the filter, at a polynomial and geometric rate. Both a pathwise-type convergence of the total variation distance of the filter started from two different initial distributions , and a convergence in expectation are consider...
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