Leroux's method for general hidden Markov models (Q2490057)
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| English | Leroux's method for general hidden Markov models |
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Leroux's method for general hidden Markov models (English)
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28 April 2006
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The authors consider a general hidden Markov model where the state variable evolves in an open interval of the real line. Using \textit{B. G. Leroux}'s method [Stochastic Processes Appl. 40, No. 1, 127--143 (1992; Zbl 0738.62081)], they prove under rather minimal assumptions the convergence of the normalized log-likelihood to the value of the parameter. The example of Kalman filter model is studied in full details.
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Markov chain
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discrete time filtering
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parametric inference
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likelihood
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conditional likelihood
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subadditive ergodic theorem
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