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arXiv:math/0508446 [math.PR]AbstractReferencesReviewsResources

On filtering of Markov chains in strong noise

P. Chigansky

Published 2005-08-24, updated 2006-05-21Version 3

The filtering problem for finite state Markov chains is revisited, when the intensity of the observation noise increases. We give a description of conditional measure concentration around the invariant distribution of the signal and derive asymptotic expressions for the performance indices of the MMSE and MAP filtering estimates.

Comments: correction of typos. to appear in IEEE Trans. Inf. Theory
Journal: IEEE Transactions on Information Theory, Vol. 52, No. 9, (2006), pp. 4267-4272
Categories: math.PR, math.ST, stat.TH
Subjects: 93E11, 62M05, 62M02
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