Information geometry approach to parameter estimation in hidden Markov model

DOI10.3150/21-BEJ1344MaRDI QIDQ2073215

Masahito Hayashi

Publication date: 1 February 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.06040

zbMATH Keywords

EM-algorithmhidden Markovpartial observation modelprojective Fisher information matrix

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Discrete-time Markov processes on general state spaces (60J05)

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