Number of hidden states and memory: a joint order estimation problem for Markov chains with Markov regime

DOI10.1051/ps:2007048zbMath1180.62117OpenAlexW2152431402MaRDI QIDQ5851010

Antoine Chambaz, Catherine Matias

Publication date: 21 January 2010

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

Full work available at URL: https://eudml.org/doc/104429

zbMATH Keywords

hidden Markov modelorder estimationhidden statesMarkov regimeconditional memory

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Statistical aspects of information-theoretic topics (62B10)

Related Items

Penalized estimate of the number of states in Gaussian linear AR with Markov regime, Hidden Markov model for parameter estimation of a random walk in a Markov environment, Identifiability of parameters in latent structure models with many observed variables

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