Robust estimation for order of hidden Markov models based on density power divergences

DOI10.1080/00949650902725155MaRDI QIDQ3589953zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Taewook Lee

Publication date 17 September 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650902725155

zbMATH Keywords

hidden Markov modelminimum density power divergence estimatornon-identifiable modelrobust estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• A Comparison of Minimum Distance and Maximum Likelihood Estimation of a Mixture Proportion
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Autocovariance structure of Markov regime switching models and model selection
• Choosing a robustness tuning parameter
• ESTIMATING COMPONENTS IN FINITE MIXTURES AND HIDDEN MARKOV MODELS
• Estimating the order of a hidden markov model
• Estimating the Order of Hidden Markov Models
• Hidden Markov models for bioinformatics
• Hidden Markov Models for Speech Recognition
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Inference in hidden Markov models.
• Markov chain models, time series analysis and extreme value theory
• Maximum-likelihood estimation for hidden Markov models
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Robust and efficient estimation by minimising a density power divergence
• Robust estimation for the order of finite mixture models
• Robust estimation in the normal mixture model
• Statistical methods in bioinformatics: an introduction
• Stochastic Limit Theory
• Testing in locally conic models, and application to mixture models
• Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes

Cited in

(5)

• Robust parametric inference for finite Markov chains
• Robust estimation for the order of finite mixture models
• Estimating the Order of Hidden Markov Models
• Recursive parameter estimation algorithm of the Dirichlet hidden Markov model
• S-estimation of hidden Markov models

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