Exponential forgetting of smoothing distributions for pairwise Markov models

Abstract

We consider a bivariate Markov chain $Z=\{Z_k{\}}_{k\ge 1}=\{(X_k,Y_k){\}}_{k\ge 1}$ taking values on product space $\mathcal{Z}=\mathcal{X}\times \mathcal{Y}$, where $\mathcal{X}$ is possibly uncountable space and $\mathcal{Y}=\{1,\dots ,|\mathcal{Y}|\}$ is a finite state-space. The purpose of the paper is to find sufficient conditions that guarantee the exponential convergence of smoothing, filtering and predictive probabilities: $$\sup_{n\geq t}\|P(Y_{t:\infty}\in \cdot|X_{l:n})-P(Y_{t:\infty}\in \cdot|X_{s:n}) \|_{\rm TV} \leq K_s α^{t}, \quad \mbox{a.s.}$$ Here $t\ge s\ge l\ge 1$, $K_s$ is $\sigma (X_{s:\infty })$-measurable finite random variable and $\alpha \in (0,1)$ is fixed. In the second part of the paper, we establish two-sided versions of the above-mentioned convergence. We show that the desired convergences hold under fairly general conditions. A special case of above-mentioned very general model is popular hidden Markov model (HMM). We prove that in HMM-case, our assumptions are more general than all similar mixing-type of conditions encountered in practice, yet relatively easy to verify.