Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.

DOI10.2307/3318520zbMATH Open1066.62535OpenAlexW4250206648MaRDI QIDQ1815786FDOQ1815786

Yaacov Ritov, P. J. Bickel

Publication date: 1996

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1178291719

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zbMATH Keywords

maximum likelihoodhidden Markov modelsgeometric ergodicitylocal asymptotic normality

Mathematics Subject Classification ID

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

Cited In (41)

• Testing for sign and amplitude asymmetries using threshold autoregressions
• Strong law of large numbers for hidden Markov chains indexed by an infinite tree with uniformly bounded degrees
• Hidden Markov model for parameter estimation of a random walk in a Markov environment
• Equivalence classes and local asymptotic normality in system identification for quantum Markov chains
• Convergence in Markovian models with implications for efficiency of inference
• Inference in hidden Markov models.
• Hidden Markov chains in generalized linear models
• Likelihood‐Ratio Tests for Hidden Markov Models
• Information geometry and local asymptotic normality for multi-parameter estimation of quantum Markov dynamics
• Large-scale multiple testing under dependence
• Title not available (Why is that?)
• The likelihood ratio test for the number of components in a mixture with Markov regime
• A non-linear explicit filter.
• On recursive estimation for hidden Markov models
• 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
• Nonparametric model validations for hidden Markov models with applications in financial econometrics
• Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
• A general autoregressive model with Markov switching: estimation and consistency
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Large deviations for random dynamical systems and applications to hidden Markov models
• Scalable Monte Carlo inference and rescaled local asymptotic normality
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Statistical Inference for Partially Hidden Markov Models
• SPRT and CUSUM in hidden Markov models
• Hidden Markov processes
• Estimating the Order of Hidden Markov Models
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Frequency-severity experience rating based on latent Markovian risk profiles
• Estimation for partially observed Markov processes
• Strong law of large numbers for hidden Markov chains indexed by Cayley trees
• Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
• Likelihood Ratio Testing for Hidden Markov Models Under Non‐standard Conditions
• Direct maximization of the likelihood of a hidden Markov model
• Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
• Parametric and nonparametric models and methods in financial econometrics
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Approximating the Variance of the Conditional Probability of the State of a Hidden Markov Model
• Title not available (Why is that?)
• Leroux's method for general hidden Markov models

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