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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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Gespeichert in:
Hovedforfatter: Alexandrovich, Grigory
Andre forfattere: Holzmann, Hajo (Prof. Dr.) (BetreuerIn (Doktorarbeit))
Format: Dissertation
Sprog:engelsk
Udgivet: Philipps-Universität Marburg 2014
Fag:
maximum likelihood
hidden Markov Modelle
Point estimation
consistency
Statistik
Konsistenz
hidden Markov models
Classification and discrimination; cluster analysis
identification
Identifikation
mixture models
Mathematik
Schätzung
Estimation
None of the above, but in this section
Mathematics
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Beskrivelse
Summary: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.
DOI:10.17192/z2014.0393

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