Asymptotical Statistics of Misspecified Hidden Markov Models

DOI10.1109/TAC.2004.831156MaRDI QIDQ5273812zbMATH OpenOpenAlexFDO

Authors Laurent Mevel, Lorenzo Finesso

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2004.831156

Mathematics Subject Classification ID

System identification (93B30) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Cited in

(9)

• Asymptotic analysis of model selection criteria for general hidden Markov models
• Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
• Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
• Moderate deviations of marginal maximum likelihood estimator for m-dependent processes
• A correction to ``On approximation of smoothing probabilities for hidden Markov models
• Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
• Identifiability of discrete input–output hidden Markov models with external signals
• Approximation of stationary processes by hidden Markov models
• Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models

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