Exponential forgetting and geometric ergodicity in hidden Markov models
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Publication:1975240
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Cited in
(54)- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- Exponential stability in discrete-time filtering for non-ergodic signal.
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- Stability of nonlinear filters in nonmixing case
- Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals
- Hidden Markov model for parameter estimation of a random walk in a Markov environment
- Asymptotic analysis of model selection criteria for general hidden Markov models
- Forgetting the initial distribution for hidden Markov models
- Stochastic gradient MCMC for state space models
- Practical stability of approximating discrete-time filters with respect to model mismatch
- Consistent order estimation for nonparametric hidden Markov models
- Transportation inequalities for hidden Markov chains and applications
- Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
- Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach
- Stability of optimal filter higher-order derivatives
- Divide-and-conquer Bayesian inference in hidden Markov models
- Approximation of stationary processes by hidden Markov models
- Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models
- Stability of the nonlinear filter for slowly switching Markov chains
- An improved bound for the exponential stability of predictive filters of hidden Markov models
- Estimation of hidden Markov models for a partially observed risk sensitive control problem.
- Effects of statistical dependence on multiple testing under a hidden Markov model
- The likelihood ratio test for the number of components in a mixture with Markov regime
- On the stability of positive semigroups
- Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
- Large deviations for random dynamical systems and applications to hidden Markov models
- Exponential bounds for convergence of entropy rate approximations in hidden Markov models satisfying a path-mergeability condition
- Exponential forgetting of smoothing distributions for pairwise Markov models
- \(L^{1}\)-convergence of smoothing densities in non-parametric state space models
- Maximum likelihood estimator for hidden Markov models in continuous time
- Statistical Inference for Partially Hidden Markov Models
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Asymptotic behavior of Bayes estimators for hidden Markov models with application to ion channels
- On the accuracy of the MAP inference in HMMs
- Bias of particle approximations to optimal filter derivative
- Ergodic properties of the nonlinear filter.
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- On approximation of smoothing probabilities for hidden Markov models
- Variational Bayesian analysis of nonhomogeneous hidden Markov models with long and ultralong sequences
- Efficient sensitivity analysis in hidden Markov models
- Loss of memory of hidden Markov models and Lyapunov exponents
- Estimate exponential memory decay in hidden Markov model and its applications to inference
- Stability of the filter with Poisson observations
- Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
- Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models
- Consistency of Maximum Likelihood Parameter Estimation for Bivariate Markov Chains
- Consistency of the maximum likelihood estimator for general hidden Markov models
- Forgetting of the initial distribution for nonergodic hidden Markov chains
- Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models
- Consistency of maximum likelihood estimation for some dynamical systems
- Asymptotic properties of the maximum likelihood estimator for hidden Markov models indexed by binary trees
- Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
- Ergodicity of hidden Markov models
- Gradient free parameter estimation for hidden Markov models with intractable likelihoods
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