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Journal Articles Journal of Mathematical Sciences Year : 2009

Maximum likelihood estimation for general hidden semi-Markov processes with backward recurrence time dependence

Abstract

This article concerns the study of the asymptotic properties of the maximum likelihood estimator (MLE) for the general hidden semi-Markov model (HSMM) with backward recurrence time dependence. By transforming the general HSMM into a general hidden Markov model, we prove that under some regularity conditions, the MLE is strongly consistent and asymptotically normal. We also provide useful expressions for the asymptotic covariance matrices, involving the MLE of the conditional sojourn times and the embedded Markov chain of the hidden semi-Markov chain.
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Dates and versions

inria-00576524 , version 1 (14-03-2011)

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Samis Trevezas, Nikolaos Limnios. Maximum likelihood estimation for general hidden semi-Markov processes with backward recurrence time dependence. Journal of Mathematical Sciences, 2009, 163 (3), pp.262-274. ⟨10.1007/s10958-009-9675-9⟩. ⟨inria-00576524⟩
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