Hidden Markov models: Estimation theory and economic applications

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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Autor principal: Leister, Anna Maria
Altres autors: Holzmann, Hajo (Prof. Dr.) (Assessor de tesis)
Format: Dissertation
Idioma:anglès
Publicat: Philipps-Universität Marburg 2016
Matèries:
Mathematik
EM-algorithm
Hidden Markov Modell
Schätztheorie
Maximum Likelihood Schätzung
EM-Algorithmus
Statistik
estimation theory
statistics
Hidden Markov models
Mathematics
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