Likelihood-ratio tests for hidden Markov models.

Abstract:

:We consider hidden Markov models as a versatile class of models for weakly dependent random phenomena. The topic of the present paper is likelihood-ratio testing for hidden Markov models, and we show that, under appropriate conditions, the standard asymptotic theory of likelihood-ratio tests is valid. Such tests are crucial in the specification of multivariate Gaussian hidden Markov models, which we use to illustrate the applicability of our general results. Finally, the methodology is illustrated by means of a real data set.

journal_name

Biometrics

journal_title

Biometrics

authors

Giudici P,Rydén T,Vandekerkhove P

doi

10.1111/j.0006-341x.2000.00742.x

subject

Has Abstract

pub_date

2000-09-01 00:00:00

pages

742-7

issue

3

eissn

0006-341X

issn

1541-0420

journal_volume

56

pub_type

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