Consistent and Asymptotically Normal Parameter Estimates for Hidden Markov Models
Open Access
- 1 December 1994
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 22 (4) , 1884-1895
- https://doi.org/10.1214/aos/1176325762
Abstract
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.Keywords
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