Maximum likelihood estimation of hidden Markov processes

DOI10.1214/aoap/1069786500zbMath1035.62084OpenAlexW3125965554MaRDI QIDQ1429106

Peter Lakner, Halina Frydman

Publication date: 30 March 2004

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

Full work available at URL: https://doi.org/10.1214/aoap/1069786500

zbMATH Keywords

likelihood ratiodrift estimationE-M algorithmfiltered integralssecurity price process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

Related Items (5)

Forecasting trends with asset prices ⋮ Filtering and smoothing formulas of AR(p)-modulated Poisson processes ⋮ Maximum likelihood estimator for hidden Markov models in continuous time ⋮ Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering ⋮ On classical and Bayesian asymptotics in state space stochastic differential equations

Cites Work

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• Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
• Parameter estimation in linear filtering
• Risk-sensitive dynamic asset management
• Optimal trading strategy for an investor: the case of partial information
• Maximum likelihood estimation for continuous-time stochastic processes
• Absolute Continuity and Radon-Nikodym Derivatives for Certain Measures Relative to Wiener Measure

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