On filtering of Markov chains in strong noise

Details On filtering of Markov chains in strong noise On filtering of Markov chains in strong noise

2005-08-24

arxiv.org/abs/math/0508446v3

IEEE Transactions on Information Theory, Vol. 52, No. 9, (2006), pp. 4267-4272

Mathematics

Probability

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

Scientific paper

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.

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