Hidden Markov models: Estimation theory and economic applications
In this thesis, maximum likelihood estimation of hidden Markov models in several settings is investigated. Nonparametric estimation of state-dependent general mixtures and log-concave densities is discussed theoretically and algorithmically. Penalized estimation for parametric hidden Markov models c...
Reine und Angewandte Mathematik
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112 (2020), 86 (2019), 98 (2018), 53 (2017), 16 (2016)
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