Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations

Mathieu Gerber; Nick Whiteley

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arXiv · 1512.04834

Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations

Mathieu Gerber·Nick Whiteley

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Abstract

We establish conditions for an exponential rate of forgetting of the initial distribution of nonlinear filters in $V$-norm, path-wise along almost all observation sequences. In contrast to previous works, our results allow for unbounded test functions. The analysis is conducted in an general setup involving nonnegative kernels in a random environment which allows treatment of filters and prediction filters in a single framework. The main result is illustrated on two examples, the first showing that a total variation norm stability result obtained by Douc et al. (2009) can be extended to $V$-norm without any additional assumptions, the second concerning a situation in which forgetting of the initial condition holds in $V$-norm for the filters, but the $V$-norm of each prediction filter is infinite.

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Mathieu Gerber, Nick Whiteley. 2015-12-15. Stability with respect to initial conditions in V-norm for nonlinear filters with ergodic observations. https://arxiv.org/abs/1512.04834

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