Penalized maximum likelihood estimation for Gaussian hidden Markov models |
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| Authors: | Grigory Alexandrovich |
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| Institution: | 1. Fachbereich Mathematik und Informatik, Philipps-Universit?t Marburg, Marburg, Germanyalexandrovich@mathematik.uni-marburg.de |
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| Abstract: | ABSTRACTThe likelihood function of a Gaussian hidden Markov model is unbounded, which is why the maximum likelihood estimator (MLE) is not consistent. A penalized MLE is introduced along with a rigorous consistency proof. |
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| Keywords: | Consistency Gaussian hidden Markov models Penalized maximum likelihood |
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