Maximum likelihood estimator for hidden Markov models in continuous time

DOI10.1007/S11203-008-9025-4zbMath1205.62120arXiv0707.0271OpenAlexW3102595170MaRDI QIDQ625302

Pavel Chigansky

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.0271

zbMATH Keywords

filteringmaximum likelihood estimatorpartial observationscontinuous time hidden Markov models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

Parameter estimation for continuous time hidden Markov processes ⋮ Asymptotic properties of MLE for partially observed fractional diffusion system ⋮ On parameter estimation of the hidden Gaussian process in perturbed SDE ⋮ On parameter estimation of the hidden Ornstein-Uhlenbeck process ⋮ On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process ⋮ On localization of source by hidden Gaussian processes with small noise ⋮ The stability of conditional Markov processes and Markov chains in random environments ⋮ Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises

Cites Work

• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Maximum-likelihood estimation for hidden Markov models
• Recursive identification in continuous-time stochastic processes
• Maximum likelihood estimation of hidden Markov processes
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Asymptotic normality of the maximum likelihood estimator in state space models
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Model robustness of finite state nonlinear filtering over the infinite time horizon
• Leroux's method for general hidden Markov models
• Parameter estimation and asymptotic stability in stochastic filtering
• Uniform coupling of non-homogeneous Markov chains
• Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
• Hidden Markov processes
• Almost Global Stochastic Stability
• Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Probabilistic Functions of Finite State Markov Chains
• Asymptotics of the maximum likelihood estimator for general hidden Markov models

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