Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models

DOI10.1214/12-AOS1047zbMath1373.62436arXiv1110.0356MaRDI QIDQ741804

Randal Douc, Eric Moulines

Publication date: 15 September 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.0356

zbMATH Keywords

maximum likelihood estimator; hidden Markov models; state space models; strong consistency; misspecified models

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M09: Non-Markovian processes: estimation

62M05: Markov processes: estimation; hidden Markov models