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...

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Bibliographic Details
Main Author: Leister, Anna Maria
Contributors: Holzmann, Hajo (Prof. Dr.) (Thesis advisor)
Format: Dissertation
Published: Philipps-Universität Marburg 2016
Reine und Angewandte Mathematik
Online Access:PDF Full Text
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