Subspace estimation and prediction methods for hidden Markov models

DOI10.1214/09-AOS711zbMath1191.62141arXiv0907.4418OpenAlexW3105231706MaRDI QIDQ1043726

Sofia Andersson, Tobias Rydén

Publication date: 9 December 2009

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

Full work available at URL: https://arxiv.org/abs/0907.4418

zbMATH Keywords

consistencyhidden Markov modelsubspace estimationlinear innovation representationprediction error representation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) System identification (93B30) Realizations from input-output data (93B15)

Related Items

Mixed Hidden Markov Models for Longitudinal Data: An Overview, Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates, Subspace estimation and prediction methods for hidden Markov models

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