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On filtering of Markov chains in strong noise

P. Chigansky
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Abstract

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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P. Chigansky. 2006-05-21. On filtering of Markov chains in strong noise. https://arxiv.org/abs/math/0508446

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