Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models
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Publication:2786481
DOI10.1051/ps/2014024zbMath1330.62101arXiv1306.2116MaRDI QIDQ2786481
Pierre Ailliot, Françoise Pène
Publication date: 12 February 2016
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.2116
stability; consistency; maximum likelihood; Markov-switching autoregressive process; non-homogeneous hidden Markov process; MacKenzie River lynx dataset
62F12: Asymptotic properties of parametric estimators
62M05: Markov processes: estimation; hidden Markov models
86A32: Geostatistics
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