Penalized maximum likelihood estimation for Gaussian hidden Markov models

DOI10.1080/03610926.2014.957855MaRDI QIDQ2830198zbMATH OpenOpenAlexFDO

Authors Grigory Alexandrovich

Publication date 9 November 2016

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

Full work available at URL https://doi.org/10.1080/03610926.2014.957855

zbMATH Keywords

consistencypenalized maximum likelihoodGaussian hidden Markov models

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09)

Recommendations

• Maximum likelihood estimation for hidden semi-Markov models
• Maximum-likelihood estimation for hidden Markov models
• Penalized estimation in high-dimensional hidden Markov models with state-specific graphical models
• Maximum likelihood estimation of hidden Markov processes
• Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
• Parameter estimation for hidden Markov models with intractable likelihoods
• Penalized maximum likelihood estimation of multi-layered Gaussian graphical models

Cites work

• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• A note on the article ``Inference for multivariate normal mixtures by J. Chen and X. Tan
• Approximation Theorems of Mathematical Statistics
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters
• Hidden Markov Models for Time Series
• Inference for multivariate normal mixtures
• Maximum-likelihood estimation for hidden Markov models
• Note on the Consistency of the Maximum Likelihood Estimate
• Penalized Maximum Likelihood Estimator for Normal Mixtures

Cited in

(2)

• Penalized estimation in high-dimensional hidden Markov models with state-specific graphical models
• scientific article; zbMATH DE number 6468198 (Why is no real title available?)

This page was built for publication: Penalized maximum likelihood estimation for Gaussian hidden Markov models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2830198)