The stability of conditional Markov processes and Markov chains in random environments
The stability of conditional Markov processes and Markov chains in random environments
We consider a discrete time hidden Markov model where the signal is a stationary Markov chain. When conditioned on the observations, the signal is a Markov chain in a random environment under the conditional measure. It is shown that this conditional signal is weakly ergodic when the signal is ergodic …