Comptes Rendus
Theory of Signals/Statistics
On ergodic filters with wrong initial data
Comptes Rendus. Mathématique, Volume 344 (2007) no. 11, pp. 727-731.

For a class of non-uniformly ergodic partly observable Markov processes, under observations subject to a Wiener process or i.i.d. noise, it is shown that a wrong initial data is forgotten with a certain rate.

On démontre que pour une classe de processus de Markov non-uniformément ergodiques avec des observations perturbées par un mouvement Brownien, le fait d'avoir des données initiales erronées est asymptotiquement oublié. La vitesse de convergence est explicitée.

Published online:
DOI: 10.1016/j.crma.2007.04.015

Marina L. Kleptsyna 1, 2; Alexander Yu. Veretennikov 2, 3

1 Université du Maine, avenue Olivier-Messiaen, 72085 Le Mans cedex 09, France
2 Institute of Information Transmission Problems, Moscow, Russia
3 University of Leeds, Leeds LS2 9JT, UK
     author = {Marina L. Kleptsyna and Alexander Yu. Veretennikov},
     title = {On ergodic filters with wrong initial data},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {727--731},
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     year = {2007},
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Marina L. Kleptsyna; Alexander Yu. Veretennikov. On ergodic filters with wrong initial data. Comptes Rendus. Mathématique, Volume 344 (2007) no. 11, pp. 727-731. doi : 10.1016/j.crma.2007.04.015.

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