On filtering of Markov chains in strong noise

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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.
correction of typos. to appear in IEEE Trans. Inf. Theory

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Probability, Statistics Theory, 93E11; 62M05; 62M02

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http://salesiana.dossiersoluciones.com/handle/123456789/130859

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0508446
 http://arxiv.org/abs/math/0508446
 IEEE Transactions on Information Theory, Vol. 52, No. 9, (2006), pp. 4267-4272

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arXiv