The maximizing set of the asymptotic normalized log-likelihood for partially observed Markov chains

DOI10.1214/15-AAP1149MaRDI QIDQ341618zbMATH OpenOpenAlexFDO

Authors Randal Douc, François Roueff, Tepmony Sim

Publication date 16 November 2016

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.09048, https://projecteuclid.org/euclid.aoap/1472745461

zbMATH Keywords

consistencyergodicityhidden Markov modelsmaximum likelihood estimatorsobservation-driven modelstime series

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: This paper deals with a parametrized family of partially observed bivariate Markov chains. We establish that, under very mild assumptions, the limit of the normalized log-likelihood function is maximized when the parameters belong to the equivalence class of the true parameter, which is a key feature for obtaining the consistency of the maximum likelihood estimators (MLEs) in well-specified models. This result is obtained in the general framework of partially dominated models. We examine two specific cases of interest, namely, hidden Markov models (HMMs) and observation-driven time series models. In contrast with previous approaches, the identifiability is addressed by relying on the uniqueness of the invariant distribution of the Markov chain associated to the complete data, regardless its rate of convergence to the equilibrium.

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(8)

• A note on maximized likelihood sets
• Asymptotic analysis of model selection criteria for general hidden Markov models
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
• Statistical analysis of multivariate discrete-valued time series
• Bayes posterior convergence for loss functions via almost additive thermodynamic formalism
• Count and duration time series with equal conditional stochastic and mean orders
• Asymptotic properties of the maximum likelihood estimator for hidden Markov models indexed by binary trees
• Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models

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