Forgetting of the initial distribution for Hidden Markov Models
Randal Douc, Gersende Fort, Éric Moulines, Pierre Priouret · arXiv (Cornell University) · 2007
The forgetting of the initial distribution for discrete Hidden Markov Models (HMM) is addressed: a new set of conditions is proposed, to establish the forgetting property of the filter, at a polynomial and geometric rate. 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 different HMM of interest: the dynamic tobit model, the non-linear state space model and the stochastic volatility model.