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:	Doctoral Thesis
Language:	English
Published:	Philipps-Universität Marburg 2016
Subjects:	Mathematik Schätztheorie statistics EM-Algorithmus Maximum Likelihood Schätzung Hidden Markov models Hidden Markov Modell estimation theory Statistik EM-algorithm Mathematics
Online Access:	PDF Full Text
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