Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models

DOI10.1214/AOS/1024691255zbMATH Open0932.62097OpenAlexW1968668741MaRDI QIDQ1807129FDOQ1807129

Yaacov Ritov, Tobias Rydén, P. J. Bickel

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1024691255

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zbMATH Keywords

asymptotic normalitymissing dataincomplete datahidden Markov models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Cites Work

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Cited In (only showing first 100 items - show all)

• Time series modeling on dynamic networks
• Adaptive estimation of the transition density of a particular hidden Markov chain
• Hidden Markov model for parameter estimation of a random walk in a Markov environment
• Fractional Diffusion with Partial Observations
• ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS
• A duscrete-time model of high-frequency stock returns
• Title not available (Why is that?)
• Consistent order estimation for nonparametric hidden Markov models
• Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
• Transportation inequalities for hidden Markov chains and applications
• Estimation of agent-based models using sequential Monte Carlo methods
• Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
• Equivalence classes and local asymptotic normality in system identification for quantum Markov chains
• A quantitative approach for polymerase chain reactions based on a hidden Markov model
• Markov-switching model selection using Kullback-Leibler divergence
• Sensitivity of hidden Markov models
• Likelihood‐Ratio Tests for Hidden Markov Models
• On parameter estimation of the hidden Ornstein-Uhlenbeck process
• Estimation of the parameters of a Markov-modulated loss process in insurance
• On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
• On localization of source by hidden Gaussian processes with small noise
• Large-scale multiple testing under dependence
• Estimating the order of a hidden markov model
• Statistical inference for mixture GARCH models with financial application
• Title not available (Why is that?)
• Simulated Likelihood Approximations for Stochastic Volatility Models
• The likelihood ratio test for the number of components in a mixture with Markov regime
• On mixture autoregressive conditional heteroskedasticity
• Hidden Markov model likelihoods and their derivatives behave like i. i. d. ones. (La vraisemblance des chaînes de Markov cachées se comporte comme celle des variables i. i. d.)
• Mixed hidden Markov models for longitudinal data: an overview
• Efficient likelihood estimation in state space models
• A cluster identification framework illustrated by a filtering model for earthquake occurrences
• Title not available (Why is that?)
• A general autoregressive model with Markov switching: estimation and consistency
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Estimation of the intensity of the hitting time for semi-Markov chains and hidden Markov renewal chains
• Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
• Asymptotics of the maximum likelihood estimator for general hidden Markov models
• Large deviations for random dynamical systems and applications to hidden Markov models
• Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
• A powerful FDR control procedure for multiple hypotheses
• Hidden Markov models in reliability and maintenance
• Statistical Inference for Partially Hidden Markov Models
• Maximum likelihood estimator for hidden Markov models in continuous time
• The likelihood ratio test for hidden Markov models in two-sample problems
• SPRT and CUSUM in hidden Markov models
• Statistical inference for dynamical systems: a review
• Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
• Consistency of maximum likelihood estimators for the regime-switching GARCH model
• Asymptotic behavior of Bayes estimators for hidden Markov models with application to ion channels
• Uniform accuracy of the maximum likelihood estimates for probabilistic models of biological sequences
• Hidden Markov models revealing the stress field underlying the earthquake generation
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• On approximation of smoothing probabilities for hidden Markov models
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• Subspace estimation and prediction methods for hidden Markov models
• Practical Filtering with Sequential Parameter Learning
• Asymptotic normality of the maximum likelihood estimator in state space models
• Maximum likelihood estimation for hidden semi-Markov models
• Speed of convergence for the blind deconvolution of a linear system with discrete random input
• Nearest neighbor classification with dependent training sequences.
• Linear optimal prediction and innovations representations of hidden Markov models.
• Likelihood Ratio Testing for Hidden Markov Models Under Non‐standard Conditions
• Direct maximization of the likelihood of a hidden Markov model
• Hidden Markov Models With Applications in Cell Adhesion Experiments
• Consistency of maximum likelihood estimation for some dynamical systems
• Finite sample properties of the maximum likelihood estimator and of likelihood ratio tests in hidden Markov models
• Parameter estimation for continuous time hidden Markov processes
• Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Asymptotic properties of MLE for partially observed fractional diffusion system
• Leroux's method for general hidden Markov models
• Least squares type estimation of the transition density of a particular hidden Markov chain
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Switching Regression Models and Causal Inference in the Presence of Discrete Latent Variables
• Asymptotic Fisher information matrix of Markov switching VARMA models
• Divide-and-conquer Bayesian inference in hidden Markov models
• Stability of optimal filter higher-order derivatives
• Statistical and Computational Guarantees for the Baum-Welch Algorithm
• Reliable Post-Signal Fault Diagnosis for Correlated High-Dimensional Data Streams
• Consistent estimation of the number of regimes in Markov-switching autoregressive models
• Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
• HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE
• Estimation in hidden Markov models via efficient importance sampling
• Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models
• Semiparametric hidden Markov models: identifiability and estimation
• Limits of Accuracy for Parameter Estimation and Localization in Single-Molecule Microscopy via Sequential Monte Carlo Methods
• Maximum likelihood estimation for quantile autoregression models with Markovian switching
• Consistency and asymptotic normality of maximum likelihood estimation for Gaussian Markov processes from discrete observations
• Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
• HMM and HAC
• Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• The continuous-time hidden Markov model based on discretization. Properties of estimators and applications
• Robust estimation for order of hidden Markov models based on density power divergences
• Signal Classification in Large-Scale Multi-Sequence Integrative Analysis Under the HMM Dependence
• Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
• On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
• Penalized maximum likelihood estimation for Gaussian hidden Markov models

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