Identification of hidden Markov models - uniform LLN-s
Gerencsér, László and Molnár-Sáska, Gábor (2007) Identification of hidden Markov models - uniform LLN-s. In: - Springer, Berlin, pp. 135-149. ISBN 978-3-540-73569-4
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Abstract
We consider hidden Markov processes in discrete time with a finite state space X and a general observation or read-out space Y. The identification of the unknown dynamics is carried out by the conditional maximum-likelihood method. The normalized log-likelihood function is shown to satisfy a uniform law of large numbers over certain compact subsets of the parameter space. Two cases are covered: first, when the running value of the transition probability matrix, denoted by Q is positive, second, when Q is primitive, but the read-out densities are strictly positive.
Item Type: | Book Section |
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Uncontrolled Keywords: | hidden Markov models, maximum-likelihood estimation, predictive filters, gradient filters, L-mixing. |
Subjects: | Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány |
Depositing User: | Eszter Nagy |
Date Deposited: | 11 Dec 2012 15:29 |
Last Modified: | 11 Dec 2012 15:29 |
URI: | https://eprints.sztaki.hu/id/eprint/5000 |
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