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Publication - Dr Vladislav Tadic

    Analyticity of Entropy Rates of Continuous-State Hidden Markov Models

    Citation

    Tadic, V & Doucet, A, 2018, ‘Analyticity of Entropy Rates of Continuous-State Hidden Markov Models’. arXiv.

    Abstract

    The analyticity of the entropy and relative entropy rates of continuous-state hidden Markov models is studied here. Using the analytic continuation principle and the stability properties of the optimal filter, the analyticity of these rates is shown for analytically parameterized models. The obtained results hold under relatively mild conditions and cover several classes of hidden Markov models met in practice. These results are relevant for several (theoretically and practically) important problems arising in statistical inference, system identification and information theory.

    Full details in the University publications repository