Estimation and testing of nonparametric hidden Markov model with application in stock market

DOI10.1080/03610926.2019.1622731OpenAlexW2947788706WikidataQ127793503 ScholiaQ127793503MaRDI QIDQ5078075FDOQ5078075

Yue Huang

Publication date: 20 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1622731

zbMATH Keywords

EM algorithmkernel regressiongeneralized likelihood ratio testnonparametric hidden Markov model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Nonparametric inference in hidden Markov models using P‐splines
• Generalized likelihood ratio statistics and Wilks phenomenon
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Hidden Markov models for time series. An introduction using R
• Flexible Nonhomogeneous Markov Models for Panel Observed Data
• A Non-Homogeneous Hidden Markov Model for Precipitation Occurrence
• Bayesian Non-Parametric Hidden Markov Models with Applications in Genomics
• Forecasting with non-homogeneous hidden Markov models
• Selecting hidden Markov model state number with cross-validated likelihood
• Semiparametric hidden Markov model with non-parametric regression

Cited In (1)

• Statistical inference for the nonparametric and semiparametric hidden Markov model via the composite likelihood approach

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