Hidden Markov model likelihoods and their derivatives behave like i.i.d. ones
(2002) In Annales de l'institut Henri Poincare (B) Probability and Statistics 38(6). p.825-846- Abstract
- We consider the log-likelihood function of hidden Markov models, its derivatives and expectations of these (such as different
information functions). We give explicit expressions for these functions and bound them as the size of the chain increases. We
apply our bounds to obtain partial second order asymptotics and some qualitative properties of a special model as well as to
extend some results of Petrie's (1969).
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/321447
- author
- Bickel, Peter J. ; Ritov, Ya'acov and Rydén, Tobias LU
- organization
- publishing date
- 2002
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- asymptotic normality, missing data, hidden Markov model, incomplete data
- in
- Annales de l'institut Henri Poincare (B) Probability and Statistics
- volume
- 38
- issue
- 6
- pages
- 825 - 846
- publisher
- Gauthier-Villars
- external identifiers
-
- wos:000179857800006
- scopus:0036845578
- DOI
- 10.1016/S0246-0203(02)01134-2
- language
- English
- LU publication?
- yes
- id
- a078042a-1793-4794-ba70-c9457ca5512c (old id 321447)
- date added to LUP
- 2016-04-01 17:13:46
- date last changed
- 2022-01-29 01:17:08
@article{a078042a-1793-4794-ba70-c9457ca5512c, abstract = {{We consider the log-likelihood function of hidden Markov models, its derivatives and expectations of these (such as different <br/><br> information functions). We give explicit expressions for these functions and bound them as the size of the chain increases. We <br/><br> apply our bounds to obtain partial second order asymptotics and some qualitative properties of a special model as well as to <br/><br> extend some results of Petrie's (1969).}}, author = {{Bickel, Peter J. and Ritov, Ya'acov and Rydén, Tobias}}, keywords = {{asymptotic normality; missing data; hidden Markov model; incomplete data}}, language = {{eng}}, number = {{6}}, pages = {{825--846}}, publisher = {{Gauthier-Villars}}, series = {{Annales de l'institut Henri Poincare (B) Probability and Statistics}}, title = {{Hidden Markov model likelihoods and their derivatives behave like i.i.d. ones}}, url = {{http://dx.doi.org/10.1016/S0246-0203(02)01134-2}}, doi = {{10.1016/S0246-0203(02)01134-2}}, volume = {{38}}, year = {{2002}}, }