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Communication Dans Un Congrès Année : 1997

Asymptotic behaviour of the MLE in hidden Markov models

François Le Gland
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Laurent Mevel

Résumé

We consider an hidden Markov model (HMM) with multidimensional observations, and where the coe fficients (transition probability matrix, and observation conditional densities) depend on some unknown parameter. We investigate the asymptotic behaviour of the maximum likelihood estimator (MLE), as the number of observations increases to in nity. We exhibit the associated Kullback-Leibler information, we show that the MLE is consistent, i.e. converges to the set of minima of the Kullback-Leibler information. Finally, we prove that the MLE is asymptotically normal, under standard assumptions.
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Dates et versions

hal-00912075 , version 1 (20-12-2013)

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  • HAL Id : hal-00912075 , version 1

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François Le Gland, Laurent Mevel. Asymptotic behaviour of the MLE in hidden Markov models. Proceedings of the 4th European Control Conference, Bruxelles 1997, Jul 1997, Brussels, Belgium. ⟨hal-00912075⟩
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