Analyticity of Entropy Rates of Continuous-State Hidden Markov Models

The analyticity of the entropy and relative entropy rates of continuous-state hidden Markov models is studied here. Using the analytic continuation principle and the stability properties of the optimal filter, the analyticity of these rates is established for analytically parameterized models. The obtained results hold under relatively mild conditions and cover several useful classes of hidden Markov models. These results are relevant for several theoretically and practically important problems arising in statistical inference, system identification and information theory.