Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
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Abstract: We consider parameter estimation in finite hidden state space Markov models with time-dependent inhomogeneous noise, where the inhomogeneity vanishes sufficiently fast. Based on the concept of asymptotic mean stationary processes we prove that the maximum likelihood and a quasi-maximum likelihood estimator (QMLE) are strongly consistent. The computation of the QMLE ignores the inhomogeneity, hence, is much simpler and robust. The theory is motivated by an example from biophysics and applied to a Poisson- and linear Gaussian model.
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Cited in
(14)- Maximum-likelihood estimation for hidden Markov models
- Maximum likelihood estimation of hidden Markov processes
- The influence of initial conditions on maximum likelihood estimation of the parameters of a binary hidden Markov model
- Maximum likelihood estimation for general hidden semi-Markov processes with backward recurrence time dependence
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