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
Biometricsjournal_title
Biometricsauthors
Giudici P,Rydén T,Vandekerkhove Pdoi
10.1111/j.0006-341x.2000.00742.xsubject
Has Abstractpub_date
2000-09-01 00:00:00pages
742-7issue
3eissn
0006-341Xissn
1541-0420journal_volume
56pub_type
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