PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Forgetting of the initial distribution for non ergodic Hidden Markov Chains
Elisabeth Gassiat, Benoit Landelle and Eric Moulines
Annals of Applied Probability 2008.

Abstract

In this paper, the forgetting of the initial distribution for non ergodic Hidden Markov Models is studied. A new set of conditions is proposed to establish the forgetting property of the filter, which significantly extends all the existing results. Both a pathwise type convergence of the toital variation distance of the filter started from two intial different distributions and a convergence in expectation are considered. The results are illustrated using generic models of non ergodic HMMs.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:4873
Deposited By:Elisabeth Gassiat
Deposited On:24 March 2009