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On a role of predictor in the filtering stability

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	On a role of predictor in the filtering stability
2.	Creator	Author's name, affiliation, country	Pavel Chigansky; The Weizmann Institute of Science
2.	Creator	Author's name, affiliation, country	Robert Liptser; Tel Aviv University
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	nonlinear filtering, stability, martingale convergence
3.	Subject	Subject classification	93E11, 60J57
4.	Description	Abstract	When is a nonlinear filter stable with respect to its initial condition? In spite of the recent progress, this question still lacks a complete answer in general. Currently available results indicate that stability of the filter depends on the signal ergodic properties and the observation process regularity and may fail if either of the ingredients is ignored. In this note we address the question of stability in a particular weak sense and show that the estimates of certain functions are always stable. This is verified without dealing directly with the filtering equation and turns to be inherited from certain one-step predictor estimates.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	Israel Science Foundation
7.	Date	(YYYY-MM-DD)	2006-07-16
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1205
10.	Identifier	Digital Object Identifier	10.1214/ECP.v11-1205
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 11
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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