Consistency of the maximum likelihood estimator for general hidden Markov models
نویسندگان
چکیده
منابع مشابه
Consistency of the Maximum Likelihood Estimator for General Hidden Markov Models
Abstract. Consider a parametrized family of general hidden Markov models, where both the observed and unobserved components take values in a complete separable metric space. We prove that the maximum likelihood estimator (MLE) of the parameter is strongly consistent under a rather minimal set of assumptions. As special cases of our main result, we obtain consistency in a large class of nonlinea...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2011
ISSN: 0090-5364
DOI: 10.1214/10-aos834