Asymptotic filtering for finite state Markov chains

Asymptotic formulae for the optimal filtering error for finite state space Markov chains observed in independent noise are presented. Asymptotically optimal simple filters, which do not depend on the transition rates of the chain, are also presented.

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Year of publication:	1996
Authors:	Khasminskii, Rafail ; Zeitouni, Ofer
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 63.1996, 1, p. 1-10
Publisher:	Elsevier
Keywords:	Nonlinear filtering Hypothesis testing Markov chains

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008874030