Identification and estimation of hidden Markov models
In the current thesis several selected aspects of the two related latent class models; finite mixtures and hidden Markov models, were considered. The problem of calculating the MLE of a Gaussian mixture with Newton's method and the consistency of penalized MLE were investigated. A penaliz...
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Формат: | Dissertation |
Мова: | Англійська |
Опубліковано: |
Philipps-Universität Marburg
2014
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Онлайн доступ: | PDF-повний текст |
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Резюме: | In the current thesis several selected aspects of the two related latent class models; finite mixtures and hidden Markov models, were considered.
The problem of calculating the MLE of a Gaussian mixture with Newton's method and the consistency of penalized MLE were investigated.
A penalized MLE procedure for univariate Gaussian hidden Markov models was introduced and shown to be consistent.
Furthermore, a result on identifiability of nonparametric hidden Markov models is derived. |
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DOI: | 10.17192/z2014.0393 |