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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Sumari: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 comparing several penalty functions is studied. In addition, various models based on mixture models and hidden Markov models differing in dependency structure and the inclusion of covariables are applied to a set of panel data containing the GDP of several countries.
Descripció física:126 Seiten
DOI:10.17192/z2016.0120

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