COMPOSITE LIKELIHOOD UNDER HIDDEN MARKOV MODEL

DOI10.5705/ss.2013.084tzbMath1356.62135OpenAlexW2314074064MaRDI QIDQ2828616

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Publication date: 26 October 2016

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/150eaee9fc40d8a395d7ee9cce14b0bb563917e3

zbMATH Keywords

regularizationergodicitystationaryEM-algorithmfinite mixture modelequilibrium distribution\(\alpha\)-mixingregime-switchingforward-backward algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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