Asymptotic analysis of model selection criteria for general hidden Markov models
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Publication:1994901
Computational methods in Markov chains (60J22) Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Abstract: The paper obtains analytical results for the asymptotic properties of Model Selection Criteria -- widely used in practice -- for a general family of hidden Markov models (HMMs), thereby substantially extending the related theory beyond typical i.i.d.-like model structures and filling in an important gap in the relevant literature. In particular, we look at the Bayesian and Akaike Information Criteria (BIC and AIC) and the model evidence. In the setting of nested classes of models, we prove that BIC and the evidence are strongly consistent for HMMs (under regularity conditions), whereas AIC is not weakly consistent. Numerical experiments support our theoretical results.
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Cited in
(5)- Asymmetric hidden Markov models
- Assessing the Goodness-of-Fit of Hidden Markov Models
- Online Smoothing for Diffusion Processes Observed with Noise
- Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
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