Semiparametric hidden Markov models: identifiability and estimation
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Publication:6604428
DOI10.1002/wics.1326zbMATH Open1545.62028MaRDI QIDQ6604428
Anna Leister, Jörn Dannemann, Hajo Holzmann
Publication date: 12 September 2024
Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)
hidden Markov modelsEM-algorithmfinancial log-returnsfinite mixture modelssemiparametric modelinglog-concave densities
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