Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models

DOI10.3150/BJ/1110228244zbMath1060.62093OpenAlexW2077492312MaRDI QIDQ1767484

Pierre Vandekerkhove

Publication date: 11 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1110228244

zbMATH Keywords

mixturehidden Markov chainincomplete data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Strong limit theorems (60F15)

Related Items (3)

On composite marginal likelihoods ⋮ Estimation of the parameters of a Markov-modulated loss process in insurance ⋮ Pairwise Likelihood Inference for General State Space Models

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