Almost sure parameter estimation and convergence rates for hidden Markov models

DOI10.1016/S0167-6911(97)00076-5MaRDI QIDQ1128433zbMATH OpenFDO

Authors Robert J. Elliott, John Moore

Publication date 13 August 1998

Published in Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

parameter estimationhidden Markov modelsmartingale convergenceKronecker's lemma

Mathematics Subject Classification ID

Identification in stochastic control theory (93E12)

Cites work

• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 3334737 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Almost sure parameter estimation and convergence rates for hidden Markov models

Cited in

(18)

• Drift and volatility estimation in discrete time
• Overall risk criterion estimation of hidden Markov model parameters
• On the rate of convergence for the length of the longest common subsequences in hidden Markov models
• Approximation of stationary processes by hidden Markov models
• Convergence of the maximum a posteriori path estimator in hidden Markov models
• Estimation for hidden Markov random fields
• The complete realization problem for hidden Markov models: a survey and some new results
• A representation result for finite Markov chains
• Multiscale Stochastic Approximation for Parametric Optimization of Hidden Markov Models
• Almost sure parameter estimation and convergence rates for hidden Markov models
• Convergence of Markovian stochastic approximation for Markov random fields with hidden variables
• Kalman filtering of a space-time Markov random field
• Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
• A correction to ``On approximation of smoothing probabilities for hidden Markov models
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
• Fractional diffusion with partial observations
• An ergodic theorem for filtering with applications to stability
• Asymptotic properties of MLE for partially observed fractional diffusion system

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