Ergodicity conjecture for convergence of the information state

Consider a positive, anchored hidden Markov model, and let FRF|_R be the restricted information chain on the recurrent state set RR. Theorem 2 states that irreducibility and aperiodicity of FRF|_R suffice for convergence in distribution of the information state ZtZ_t to a discrete invariant measure μP(R)P(P(S))\mu_\infty\in\mathcal P(R)\subset\mathcal P(\mathcal P(S)).

Ergodicity conjecture. The conditions of that theorem can be weakened to the case when the underlying chain is only ergodic.

If true, this would extend the convergence result beyond the stated irreducibility and aperiodicity assumptions on the restricted information chain. The excerpt does not establish the weakening.

Sources & referencesView supporting material

Primary source

James Y. Zhao, “Hidden Markov Models with Multiple Observation Processes”, arXiv:1010.1042 (2011).

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