Maximum Likelihood Estimators for Multivariate Hidden Markov Mixture Models
- In this paper we consider a multivariate switching model, with constant states means and covariances. In this model, the switching mechanism between the basic states of the observed time series is controlled by a hidden Markov chain. As illustration, under Gaussian assumption on the innovations and some rather simple conditions, we prove the consistency and asymptotic normality of the maximum likelihood estimates of the model parameters.
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| Author: | Joseph Tadjuidje Kamgaing |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-34809 |
| Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (146) |
| Document Type: | Preprint |
| Language of publication: | English |
| Date of Publication (online): | 2013/04/15 |
| Year of first Publication: | 2013 |
| Publishing Institution: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2013/04/15 |
| Tag: | MLE; Multivariate; hidden Markov; mixing; normality |
| Page Number: | 13 |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| MSC-Classification (mathematics): | 00-XX GENERAL |
| 37-XX DYNAMICAL SYSTEMS AND ERGODIC THEORY [See also 26A18, 28Dxx, 34Cxx, 34Dxx, 35Bxx, 46Lxx, 58Jxx, 70-XX] | |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vom 10.09.2012 |