Nonparametric finite translation hidden Markov models and extensions

DOI10.3150/14-BEJ631zbMATH Open1388.62243arXiv1302.2345MaRDI QIDQ5963498FDOQ5963498

Judith Rousseau, Elisabeth Gassiat

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In this paper we consider non parametric finite translation mixtures. We prove that all the parameters of the model are identifiable as soon as the matrix that defines the joint distribution of two consecutive latent variables is non singular and the translation parameters are distinct. Under this assumption, we provide a consistent estimator of the number of populations, of the translation parameters and of the distribution of two consecutive latent variables, which we prove to be asymptotically normally distributed under mild dependency assumptions. We propose a non parametric estimator of the unknown translated density. In case the latent variables form a Markov chain (Hidden Markov models), we prove an oracle inequality leading to the fact that this estimator is minimax adaptive over regularity classes of densities.

Full work available at URL: https://arxiv.org/abs/1302.2345

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zbMATH Keywords

nonparametric estimationhidden Markov modelsdependent latent variable modelstranslation mixtures

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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Cited In (18)

• Clustering via finite nonparametric ICA mixture models
• Uniform consistency in nonparametric mixture models
• On random translation models
• Efficient semiparametric estimation and model selection for multidimensional mixtures
• Semiparametric identification of the bid-ask spread in extended Roll models
• Nonstationary hidden Markov model
• Posterior consistency for nonparametric hidden Markov models with finite state space
• An overview of semiparametric extensions of finite mixture models
• INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS
• Nonparametric estimation of non-exchangeable latent-variable models
• Inference in finite state space non parametric hidden Markov models and applications
• Title not available (Why is that?)
• Bayesian Spline-Based Hidden Markov Models with Applications to Actimetry Data and Sleep Analysis
• Identifiability of discrete input–output hidden Markov models with external signals
• Statistical inference for the nonparametric and semiparametric hidden Markov model via the composite likelihood approach
• Semiparametric inference for mixtures of circular data
• Estimating multivariate latent-structure models
• Deconvolution with unknown noise distribution is possible for multivariate signals

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