Forgetting of the initial distribution for non-ergodic Hidden Markov Chains

Gassiat, Elisabeth; Landelle, Benoit; Moulines, Eric

Forgetting of the initial distribution for non-ergodic Hidden Markov Chains

Authors

Gassiat, Elisabeth

Landelle, Benoit

Moulines, Eric

Description

In this paper, the forgetting of the initial distribution for a non-ergodic Hidden Markov Models (HMM) 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 total variation distance of the filter started from two different initial distributions, and a convergence in expectation are considered. The results are illustrated using generic models of non-ergodic HMM and extend all the results known so far.
31 pages