Limit Theorems in Hidden Markov Models

DOI10.1109/TIT.2012.2226701zbMATH Open1364.60032arXiv1102.0365MaRDI QIDQ2989345FDOQ2989345

Authors: Guangyue Han 

Publication date: 8 June 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: In this paper, under mild assumptions, we derive a law of large numbers, a central limit theorem with an error estimate, an almost sure invariance principle and a variant of Chernoff bound in finite-state hidden Markov models. These limit theorems are of interest in certain ares in statistics and information theory. Particularly, we apply the limit theorems to derive the rate of convergence of the maximum likelihood estimator in finite-state hidden Markov models.

Full work available at URL: https://arxiv.org/abs/1102.0365

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Measures of information, entropy (94A17) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Cited In (3)

• Approximation of stationary processes by hidden Markov models
• The almost sure invariance principle for beta-mixing measures
• Title not available (Why is that?)

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