Asymptotic normality of the maximum likelihood estimator in state space models
From MaRDI portal
Publication:1970477
The authors generalize the results of \textit{P.J. Bickel}, \textit{Y. Ritov} and \textit{T. Rydèn} in Ann. Stat. 26, No. 4, 1614-1635 (1998; Zbl 0932.62097), to state space models, where the latent process is a continuous-state Markov chain satisfying regularity conditions, which are fulfilled if the latent process takes values in a compact space.
Recommendations
- Asymptotics of the maximum likelihood estimator for general hidden Markov models
- Propriétés asymptotiques de l'estimateur de maximum de vraisemblance pour des modèles de Markov cachés généraux
- Asymptotic normality of M-estimators in nonhomogeneous hidden Markov models
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
Cites work
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
- Bayesian forecasting and dynamic models
- scientific article; zbMATH DE number 724260 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- Likelihood analysis of non-Gaussian measurement time series
- Maximum-likelihood estimation for hidden Markov models
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Smoothness priors analysis of time series
- Uniform asymptotic normality of the maximum likelihood estimator
Cited in
(36)- Direct maximization of the likelihood of a hidden Markov model
- A non-linear explicit filter.
- Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Consistency of maximum likelihood estimation for some dynamical systems
- Least squares type estimation of the transition density of a particular hidden Markov chain
- Adaptive estimation of the transition density of a particular hidden Markov chain
- Leroux's method for general hidden Markov models
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Hidden Markov model for parameter estimation of a random walk in a Markov environment
- Robust maximum likelihood estimation for stochastic state space model with observation outliers
- Fractional diffusion with partial observations
- Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
- Sensitivity of hidden Markov models
- An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
- The likelihood ratio test for the number of components in a mixture with Markov regime
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Switching regression models and causal inference in the presence of discrete latent variables
- A cluster identification framework illustrated by a filtering model for earthquake occurrences
- Divide-and-conquer Bayesian inference in hidden Markov models
- Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
- Maximum likelihood estimator for hidden Markov models in continuous time
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Iterated filtering
- Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
- Template based functional prediction with applications to noninvasive mechanical ventilation and surface EMG techniques
- The strong laws of large numbers for hidden Markov model with general state space
- Asymptotic properties of the maximum likelihood estimator for hidden Markov models indexed by binary trees
- On randomly periodic strongly dependent time series, with applications to neural respiratory drive data
- Nudging state-space models for Bayesian filtering under misspecified dynamics
- Fractional stochastic volatility model
- A general autoregressive model with Markov switching: estimation and consistency
- On classical and Bayesian asymptotics in state space stochastic differential equations
- Maximum likelihood estimation for hidden semi-Markov models
- Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
- Statistical inference for dynamical systems: a review
This page was built for publication: Asymptotic normality of the maximum likelihood estimator in state space models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1970477)
