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

DOI10.1080/00949650902725155zbMATH Open1432.62280OpenAlexW2085761453MaRDI QIDQ3589953FDOQ3589953

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

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zbMATH Keywords

hidden Markov modelrobust estimatornon-identifiable modelminimum density power divergence estimator

Mathematics Subject Classification ID

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

Cites Work

• Stochastic Limit Theory
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
• Inference in hidden Markov models.
• Mixture Densities, Maximum Likelihood and the EM Algorithm
• Title not available (Why is that?)
• Robust estimation in the normal mixture model
• Robust and efficient estimation by minimising a density power divergence
• Maximum-likelihood estimation for hidden Markov models
• Hidden Markov Models for Speech Recognition
• Choosing a robustness tuning parameter
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• Hidden Markov models for bioinformatics
• Autocovariance structure of Markov regime switching models and model selection
• Markov chain models, time series analysis and extreme value theory
• A Comparison of Minimum Distance and Maximum Likelihood Estimation of a Mixture Proportion
• Robust estimation for the order of finite mixture models
• Testing in locally conic models, and application to mixture models
• Estimating the order of a hidden markov model
• Statistical methods in bioinformatics: an introduction
• Estimating the Order of Hidden Markov Models
• ESTIMATING COMPONENTS IN FINITE MIXTURES AND HIDDEN MARKOV MODELS

Cited In (5)

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

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