Geodesic
Stability of the discrete time filter in terms of the tails of noise distributions
Kari Heine1
1 Institute of Mathematics, Tampere University of Technology, Finland
ESAIM. Proceedings, Tome 19 (2007), pp. 73-78 Cet article a éte moissonné depuis la source EDP Sciences

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Recently, it has been pointed out by several authors that the uniform convergence of the stochastic discrete time filter approximations, such as particle filters, is closely related to the stability of the exact filter. This work provides easily verifiable conditions on the signal and observation model that ensure a certain level of stability for the exact filter. Essentially, the conditions are imposed on the tails of the signal and observation noise distributions. For sufficiently light tailed observation noise, the filter is shown to be stable.
DOI : 10.1051/proc:071910

Kari Heine 1

1 Institute of Mathematics, Tampere University of Technology, Finland 
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     title = {Stability of the discrete time filter in terms of the tails of noise distributions},
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Kari Heine. Stability of the discrete time filter in terms of the tails of noise distributions. ESAIM. Proceedings, Tome 19 (2007), pp. 73-78. doi: 10.1051/proc:071910

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