Composite likelihood under hidden Markov model
DOI10.5705/SS.2013.084TzbMATH Open1356.62135OpenAlexW2314074064MaRDI QIDQ2828616FDOQ2828616
Authors: Jiahua Chen, Yi Huang, Peiming Wang 
Publication date: 26 October 2016
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/150eaee9fc40d8a395d7ee9cce14b0bb563917e3
Recommendations
- Composite likelihood EM algorithm with applications to multivariate hidden Markov model
- scientific article; zbMATH DE number 4100431
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models
- Composite likelihood for time series models with a latent autoregressive process
- A note on composite likelihood inference and model selection
ergodicityforward-backward algorithmregime-switchingregularization\(\alpha\)-mixingfinite mixture modelEM-algorithmstationaryequilibrium distribution
Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cited In (10)
- On finite mixture models
- Convergence of the Euler-Maruyama method for CIR model with Markovian switching
- Combined composite likelihood
- A segmented generalized Markov regime-switching model with its application in financial time series data
- Inference and forecasting for continuous-time integer-valued trawl processes
- Penalized composite likelihood estimation for hidden Markov models with unknown number of states
- A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood
- Statistical inference for the nonparametric and semiparametric hidden Markov model via the composite likelihood approach
- Composite likelihood EM algorithm with applications to multivariate hidden Markov model
- Composite likelihood for time series models with a latent autoregressive process
This page was built for publication: Composite likelihood under hidden Markov model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2828616)
