Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
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Wonham 滤波器的渐近稳定性：遍历和非遍历信号
DOI：
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
R. Liptser
中科院分区：
文献类型：
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作者：
P. Baxendale;P. Chigansky;R. Liptser
讨论了Wonham滤波器关于初始条件的稳定性问题。遍历信号的情况下，重新审视的差距，在经典工作的H。Kunita（1971）.我们给出了指数稳定率的新的界，它不依赖于观测值。在非遍历的情况下，稳定性隐含的可识别性条件，制定明确的过渡强度矩阵和观察结构。
The stability problem of the Wonham filter with respect to initial conditions is addressed. The case of ergodic signals is revisited in view of a gap in the classic work of H. Kunita (1971). We give new bounds for the exponential stability rates, which do not depend on the observations. In the nonergodic case, the stability is implied by identifiability conditions, formulated explicitly in terms of the transition intensities matrix and the observation structure.