Volume 23, 2019
|Page(s)||492 - 523|
|Published online||07 August 2019|
Maximum likelihood estimation in hidden Markov models with inhomogeneous noise
Institute for Mathematical Stochastics, Georg-August-University of Göttingen,
2 Max Planck Institute for Biophysical Chemistry, Am Faßberg 11, 37077 Göttingen, Germany.
3 Felix-Bernstein-Institute for Mathematical Statistics in the Biosciences, Goldschmidtstraße 7, 37077 Göttingen, Germany.
* Corresponding author: firstname.lastname@example.org
Accepted: 19 September 2018
We consider parameter estimation in finite hidden state space Markov models with time-dependent inhomogeneous noise, where the inhomogeneity vanishes sufficiently fast. Based on the concept of asymptotic mean stationary processes we prove that the maximum likelihood and a quasi-maximum likelihood estimator (QMLE) are strongly consistent. The computation of the QMLE ignores the inhomogeneity, hence, is much simpler and robust. The theory is motivated by an example from biophysics and applied to a Poisson- and linear Gaussian model.
Mathematics Subject Classification: 62F12 / 62M09
Key words: Inhomogeneous hidden Markov models / quasi-maximum likelihood estimation / strong consistency / robustness / asymptotic mean stationarity
© EDP Sciences, SMAI 2019
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