Penalized maximum likelihood estimation for Gaussian hidden Markov models

DOI10.1080/03610926.2014.957855zbMath1348.62060OpenAlexW2499351412MaRDI QIDQ2830198

Grigory Alexandrovich

Publication date: 9 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.957855

zbMATH Keywords

consistencypenalized maximum likelihoodGaussian hidden Markov models

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Cites Work

• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• Inference for multivariate normal mixtures
• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• Maximum-likelihood estimation for hidden Markov models
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• A note on the article ``Inference for multivariate normal mixtures by J. Chen and X. Tan
• Consistency of the Maximum Likelihood Estimator in the Presence of Infinitely Many Incidental Parameters
• Approximation Theorems of Mathematical Statistics
• Penalized Maximum Likelihood Estimator for Normal Mixtures
• Note on the Consistency of the Maximum Likelihood Estimate
• Hidden Markov Models for Time Series

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