CONSISTENT AND ASYMPTOTICALLY NORMAL PARAMETER ESTIMATES FOR HIDDEN MARKOV-MODELS

• 成果类型: Article
• 署名作者: RYDEN, T
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176325762
• 发表日期: 1994
• 页码: 1884-1895
• 关键词: maximum-likelihood-estimation; mixture-models

摘要

Hidden Markov models are today widespread for modeling of various phenomena. It has recently been shown by Leroux that the maximum-likelihood estimate (MLE) of the parameters of a such a model is consistent, and local asymptotic normality has been proved by Bickel and Ritov. In this paper we propose a new class of estimates which are consistent, asymptotically normal and almost as good as the MLE.