The LiU Seminar Series in Statistics and Mathematical Statistics

The seminars are typically held bi-weekly on Tuesdays at 15.15-16.15.
For further information, or if you want to be notified about the seminars by e-mail, please contact Mattias Villani.

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Upcoming Seminar

Tuesday, January 29, 3.15 pm, 2013. Seminar in Mathematical Statistics

Ergodic properties for the conditional distribution of partially observed Markov chains
Thomas Kaijser, Mathematical Statistics, LiU.
Abstract: Suppose we want to investigate the properties of a stochastic process using some kind of observation system. As a model for the stochastic process we use a Markov kernel, and similarly for the observation process. (A model of this type is nowadays often called a Hidden Markov Model (HMM) or State Space Model; as a special case we have the so-called Kalman filter.) The interest in such models has been very great the last two (three) decades, and HMMs have e.g. been applied to speech recognition and gene-finding in DNA. The problem, that I have been interested in, is to find conditions which imply ergodic properties for the conditional distribution of the Markov chain, given the observations. (This problem is mainly of theoretical interest, with no immediate practical applications.) My plan is to give a historical overview of this problem and to present some recent results.
Location: Hopningspunkten.

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Future and Past Seminars

Spring 2013 | Fall 2012 | Spring 2012 | Fall 2011

Page responsible: Mattias Villani
Last updated: 2013-01-22