Limit Theorems in Hidden Markov Models

DOI10.1109/TIT.2012.2226701MaRDI QIDQ2989345zbMATH OpenFDO

Authors Guangyue Han

Publication date 8 June 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.0365

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Measures of information, entropy (94A17)

Abstract: In this paper, under mild assumptions, we derive a law of large numbers, a central limit theorem with an error estimate, an almost sure invariance principle and a variant of Chernoff bound in finite-state hidden Markov models. These limit theorems are of interest in certain ares in statistics and information theory. Particularly, we apply the limit theorems to derive the rate of convergence of the maximum likelihood estimator in finite-state hidden Markov models.

Cited in

(3)

• The almost sure invariance principle for beta-mixing measures
• scientific article; zbMATH DE number 6001258 (Why is no real title available?)
• Approximation of stationary processes by hidden Markov models

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