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I am given discrete-time Markov chain that evolves on a finite subset $\{1,\dots,n\}$. This Markov chain is time-homogeneous and has a transition matrix $P$ that I want to estimate. Let $X_t$ be the ...

In context of a hidden Markov model, I am interested in bounding the error of a Bayesian filter when using inexact state transition and observation models. Consider a hidden Markov model (HMM) with ...