State-by-state Minimax Adaptive Estimation for Nonparametric Hidden Markov Models

zbMath1467.62137arXiv1706.08277MaRDI QIDQ4558185

Luc Lehéricy

Publication date: 21 November 2018

Full work available at URL: https://arxiv.org/abs/1706.08277

zbMATH Keywords

model selectionhidden Markov modelspectral methodleast squares methodnonparametric density estimationoracle inequalityadaptive minimax estimation

Mathematics Subject Classification ID

Density estimation (62G07) Minimax procedures in statistical decision theory (62C20) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (2)

Unnamed Item ⋮ Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models

Uses Software

• CAPUSHE

Cites Work

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• Minimal penalties for Gaussian model selection
• General Selection Rule from a Family of Linear Estimators
• Minimax adaptive estimation of nonparametric hidden Markov models
• Consistent Estimation of the Filtering and Marginal Smoothing Distributions in Nonparametric Hidden Markov Models
• Non-Parametric Estimation of Finite Mixtures from Repeated Measurements

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