Application of extreme value theory to level estimation in nonlinearly distorted hidden Markov models

DOI10.1109/78.852010zbMath1007.62068OpenAlexW2095844018MaRDI QIDQ2734369

Vikram Krishnamurthy, Kutluyıl Doǧançay

Publication date: 26 March 2003

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.852010

zbMATH Keywords

extreme value distributionscurve fittinghidden Markov modelsminimization methodsleast squares methodsdiscrete-time finite-state Markov chains

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics (62P99) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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Scaling of the minimum of iid random variables

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