The Annals of Applied Probability

Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

François Le Gland and Nadia Oudjane

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Abstract

We study the stability of the optimal filter w.r.t. its initial condition and w.r.t. the model for the hidden state and the observations in a general hidden Markov model, using the Hilbert projective metric. These stability results are then used to prove, under some mixing assumption, the uniform convergence to the optimal filter of several particle filters, such as the interacting particle filter and some other original particle filters.

Article information

Source
Ann. Appl. Probab., Volume 14, Number 1 (2004), 144-187.

Dates
First available in Project Euclid: 3 February 2004

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1075828050

Digital Object Identifier
doi:10.1214/aoap/1075828050

Mathematical Reviews number (MathSciNet)
MR2023019

Zentralblatt MATH identifier
1060.93094

Subjects
Primary: 93E11: Filtering [See also 60G35] 93E15: Stochastic stability 62E25
Secondary: 60B10: Convergence of probability measures 60J27: Continuous-time Markov processes on discrete state spaces 62G07: Density estimation 62G09: Resampling methods 62L10: Sequential analysis

Keywords
Hidden Markov model nonlinear filter particle filter stability Hilbert metric total variation norm mixing regularizing kernel

Citation

Le Gland, François; Oudjane, Nadia. Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters. Ann. Appl. Probab. 14 (2004), no. 1, 144--187. doi:10.1214/aoap/1075828050. https://projecteuclid.org/euclid.aoap/1075828050


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