Maximum likelihood estimator for hidden Markov models in continuous time
From MaRDI portal
(Redirected from Publication:625302)
Abstract: The paper studies large sample asymptotic properties of the Maximum Likelihood Estimator (MLE) for the parameter of a continuous time Markov chain, observed in white noise. Using the method of weak convergence of likelihoods due to I.Ibragimov and R.Khasminskii, consistency, asymptotic normality and convergence of moments are established for MLE under certain strong ergodicity conditions of the chain.
Recommendations
- Asymptotics of the maximum likelihood estimator for general hidden Markov models
- Propriétés asymptotiques de l'estimateur de maximum de vraisemblance pour des modèles de Markov cachés généraux
- Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
- Asymptotic inference for continuous-time Markov chains
Cites work
- Almost Global Stochastic Stability
- Asymptotic normality of the maximum likelihood estimator in state space models
- Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Asymptotic Stability of the Wonham Filter: Ergodic and Nonergodic Signals
- Asymptotics of the maximum likelihood estimator for general hidden Markov models
- Exponential forgetting and geometric ergodicity in hidden Markov models
- Hidden Markov processes
- Leroux's method for general hidden Markov models
- Maximum likelihood estimation of hidden Markov processes
- Maximum-likelihood estimation for hidden Markov models
- Model robustness of finite state nonlinear filtering over the infinite time horizon
- Parameter estimation and asymptotic stability in stochastic filtering
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- Probabilistic Functions of Finite State Markov Chains
- Recursive identification in continuous-time stochastic processes
- Some Applications of Stochastic Differential Equations to Optimal Nonlinear Filtering
- Statistical Inference for Probabilistic Functions of Finite State Markov Chains
- Uniform coupling of non-homogeneous Markov chains
Cited in
(18)- The stability of conditional Markov processes and Markov chains in random environments
- Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
- Asymptotic inference for continuous-time Markov chains
- Maximum-likelihood estimation for hidden Markov models
- On parameter estimation of the hidden Ornstein-Uhlenbeck process
- On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
- On localization of source by hidden Gaussian processes with small noise
- On parameter estimation of the hidden Gaussian process in perturbed SDE
- Asymptotic normality for discretely observed Markov jump processes with an absorbing state
- The maximizing set of the asymptotic normalized log-likelihood for partially observed Markov chains
- scientific article; zbMATH DE number 3973997 (Why is no real title available?)
- On White Noises Driven by Hidden Markov Chains
- Maximum likelihood principle and I-divergence: continuous time observations.
- scientific article; zbMATH DE number 7266449 (Why is no real title available?)
- Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Volatility estimation of hidden Markov processes and adaptive filtration
- Parameter estimation for continuous time hidden Markov processes
This page was built for publication: Maximum likelihood estimator for hidden Markov models in continuous time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625302)
