Composite likelihood under hidden Markov model

DOI10.5705/SS.2013.084TMaRDI QIDQ2828616zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ergodicityforward-backward algorithmregime-switchingregularization\(\alpha\)-mixingfinite mixture modelEM-algorithmstationaryequilibrium distribution

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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

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)