A minimum description length approach to hidden Markov models with Poisson and Gaussian emissions. Application to order identification

DOI10.1016/j.jspi.2008.06.010zbMath1284.62534OpenAlexW1996769950WikidataQ99980101 ScholiaQ99980101MaRDI QIDQ1007478

Antoine Chambaz, Aurélien Garivier, Elisabeth Gassiat

Publication date: 20 March 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.06.010

zbMATH Keywords

model selectionBICorder estimationinfinite alphabet

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Non-Markovian processes: estimation (62M09) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (8)

Computable infinite-dimensional filters with applications to discretized diffusion processes ⋮ Penalized estimate of the number of states in Gaussian linear AR with Markov regime ⋮ Variable selection in model-based clustering using multilocus genotype data ⋮ Consistent order estimation for nonparametric hidden Markov models ⋮ About the posterior distribution in hidden Markov models with unknown number of states ⋮ Hidden Markov Models With Applications in Cell Adhesion Experiments ⋮ Relevant states and memory in Markov chain bootstrapping and simulation ⋮ The likelihood ratio test for general mixture models with or without structural parameter

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