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

DOI10.1214/12-AOS1047MaRDI QIDQ741804zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.aos/1359987535

zbMATH Keywords

hidden Markov modelsmaximum likelihood estimatormisspecified modelsstate space modelsstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Abstract: Let $(Y_k{)}_{kinmathbbZ}$ be a stationary sequence on a probability space $(Omega,mathcalA,mathbbP)$ taking values in a standard Borel space $mathsfY$. Consider the associated maximum likelihood estimator with respect to a parametrized family of hidden Markov models such that the law of the observations $(Y_k{)}_{kinmathbbZ}$ is not assumed to be described by any of the hidden Markov models of this family. In this paper we investigate the consistency of this estimator in such misspecified models under mild assumptions.

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Cited in

(20)

• Numerically stable online estimation of variance in particle filters
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
• Learning the distribution of latent variables in paired comparison models with round-robin scheduling
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• Self-organizing state-space models with artificial dynamics
• Long-term stability of sequential Monte Carlo methods under verifiable conditions
• Statistical inference for dynamical systems: a review

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