Maximum likelihood estimator for hidden Markov models in continuous time
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11203-008-9025-4.pdf
Reference31 articles.
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2. Baxendale P, Chigansky P, Liptser R (2004) Asymptotic stability of the Wonham filter: ergodic and nonergodic signals. SIAM J Control Optim 43(2): 643–669 (electronic)
3. Bickel PJ, Ritov Y, Rydén T (1998) Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models. Ann Stat 26(4): 1614–1635
4. Cappé O, Moulines E, Rydén T (2005) Inference in hidden Markov models. Springer series in statistics. Springer, New York. With Randal Douc’s contributions to chapter 9 and Christian P. Robert’s to chapters 6, 7 and 13, with chapter 14 by Gersende Fort, Philippe Soulier and Moulines, and Chapter 15 by Stéphane Boucheron and Elisabeth Gassiat
5. Chigansky P, van Handel R (2007) Model robustness of finite state nonlinear filtering over the infinite time horizon. Ann Appl Probab 17(2): 688–715
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