Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models

DOI10.3150/BJ/1110228244zbMATH Open1060.62093OpenAlexW2077492312MaRDI QIDQ1767484FDOQ1767484

Authors: P. Vandekerkhove 

Publication date: 11 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1110228244

Recommendations

• Statistical Inference for Partially Hidden Markov Models
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Propriétés asymptotiques de l'estimateur de maximum de vraisemblance pour des modèles de Markov cachés généraux
• Estimation of parameters in hidden Markov models
• Estimation for mixtures of Markov processes.

zbMATH Keywords

mixturehidden Markov chainincomplete data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Strong limit theorems (60F15)

Cites Work

• Mixing: Properties and examples
• Autoregressive conditional heteroskedasticity and changes in regime
• On a logistic mixture autoregressive model
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Blind separation of mixture of independent sources through a quasi-maximum likelihood approach
• On a Mixture Autoregressive Model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• De Finetti's theorem for Markov chains
• Detection and estimation for abruptly changing systems
• Mixtures of Markov Processes
• Title not available (Why is that?)
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Title not available (Why is that?)
• Maximum-likelihood estimation for hidden Markov models
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Hidden Markov Models for Speech Recognition
• Identifiability of Finite Mixtures
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• On mixtures of distributions of Markov chains.
• Title not available (Why is that?)
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• Title not available (Why is that?)
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• Asymptotics of the maximum likelihood estimator for general hidden Markov models
• Correlation functions of a function of a finite-state Markov process with application to channel kinetics
• Statistique de chaînes de Markov cachées à espace d'états fini. Le cas non stationnaire
• Title not available (Why is that?)
• An autoregressive method for the measurement of synchronization of interictal and ictal EEG signals
• The Baum--Welch algorithm for parameter estimation of Gaussian autoregressive mixture models
• A Monte Carlo estimation of the entropy for Markov chains
• Mixture models for time series

Cited In (17)

• Parameter estimation in a model for misclassified Markov data -- a Bayesian approach
• The Baum--Welch algorithm for parameter estimation of Gaussian autoregressive mixture models
• Learning Theory
• Consistent Estimation of the Filtering and Marginal Smoothing Distributions in Nonparametric Hidden Markov Models
• Mixtures of nonparametric components and hidden Markov models
• Hidden Markov mixture autoregressive models: stability and moments
• ESTIMATING COMPONENTS IN FINITE MIXTURES AND HIDDEN MARKOV MODELS
• Estimation of the parameters of a Markov-modulated loss process in insurance
• Parameter redundancy and identifiability in hidden Markov models
• Statistical estimation in hierarchical hidden Markov model
• Statistical Inference for Partially Hidden Markov Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• On composite marginal likelihoods
• Mixture of hidden Markov models for accelerometer data
• Pairwise Likelihood Inference for General State Space Models

This page was built for publication: Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1767484)