Asymptotical statistics of misspecified hidden Markov models

被引：21

作者：

Mevel, L

Finesso, L

机构：

[1] Inst Natl Rech Informat & Automat, IRISA, F-35042 Rennes, France

[2] CNR, LADSEB, I-35127 Padua, Italy

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2004年 / 49卷 / 07期

关键词：

estimation; filtering theory; hidden Markov models (HMMs); identification; misspecification;

D O I：

10.1109/TAC.2004.831156

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper deals with the problem of modeling data generated by an ergodic stochastic process as the output of a hidden Markov model (HMM). More specifically, we consider the problem of fitting a parametric family of HMM with continuous output to an ergodic stochastic process with continuous values, which does not necessarily belong to the family. In this context, we derive the main asymptotic results: almost sure consistency of the maximum likelihood estimator, asymptotic normality of the estimation error and the exact rates of almost sure convergence.

引用

页码：1123 / 1132

页数：10

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