Maximum likelihood estimation in hidden Markov models with inhomogeneous noise

DOI10.1051/ps/2018017zbMath1422.62099arXiv1804.04034MaRDI QIDQ5228348

Axel Munk, Daniel Rudolf, Manuel Diehn

Publication date: 12 August 2019

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.04034

zbMATH Keywords

robustness; strong consistency; quasi-maximum likelihood estimation; inhomogeneous hidden Markov models; asymptotic mean stationarity

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62F35: Robustness and adaptive procedures (parametric inference)

62M05: Markov processes: estimation; hidden Markov models