Propriétés asymptotiques de l'estimateur de maximum de vraisemblance pour des modèles de Markov cachés généraux

DOI10.1016/S0764-4442(00)00138-5zbMATH Open0969.62018MaRDI QIDQ4950786FDOQ4950786

Authors: Randal Douc, Catherine Matias 

Publication date: 22 June 2000

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalityconsistencyhidden Markov modelmaximum likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Cited In (32)

• Asymptotic normality of the maximum likelihood estimator for cooperative sequential adsorp\-tion
• Consistency of the maximum likelihood estimator in seasonal hidden Markov models
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Stationary distribution estimation in hidden Markov models
• Asymptotic normality of M-estimators in nonhomogeneous hidden Markov models
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• Convergence of the maximum a posteriori path estimator in hidden Markov models
• The influence of initial conditions on maximum likelihood estimation of the parameters of a binary hidden Markov model
• Maximum-likelihood estimation for hidden Markov models
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• Hidden Markov model likelihoods and their derivatives behave like i. i. d. ones. (La vraisemblance des chaînes de Markov cachées se comporte comme celle des variables i. i. d.)
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
• Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
• Asymptotics of the maximum likelihood estimator for general hidden Markov models
• Statistical Inference for Partially Hidden Markov Models
• Maximum likelihood estimator for hidden Markov models in continuous time
• Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
• Asymptotic behavior of Bayes estimators for hidden Markov models with application to ion channels
• The maximizing set of the asymptotic normalized log-likelihood for partially observed Markov chains
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• On approximation of smoothing probabilities for hidden Markov models
• Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
• Asymptotic normality of the maximum likelihood estimator in state space models
• Maximum likelihood estimation for hidden semi-Markov models
• Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
• Consistency of the maximum likelihood estimator for general hidden Markov models
• Nonparametric identification and maximum likelihood estimation for hidden Markov models
• Finite sample properties of the maximum likelihood estimator and of likelihood ratio tests in hidden Markov models
• Identification of hidden Markov models -- uniform LLN-s
• Maximum likelihood estimation for general hidden semi-Markov processes with backward recurrence time dependence
• Leroux's method for general hidden Markov models

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