The adjusted Viterbi training for hidden Markov models

DOI10.3150/07-BEJ105zbMath1168.60033arXiv0803.2394MaRDI QIDQ1002581

Jüri Lember, Alexey Koloydenko

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.2317

zbMATH Keywords

parameter estimation; consistency; maximum likelihood; computational efficiency; bias; hidden Markov models; EM; Baum-Welch; Viterbi extraction; Viterbi training

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C40: Numerical analysis or methods applied to Markov chains

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Asymptotic risks of Viterbi segmentation, On the Viterbi process with continuous state space, On approximation of smoothing probabilities for hidden Markov models, A Markov-modulated model for stocks paying discrete dividends

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