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The likelihood ratio test for hidden Markov models in two-sample problems

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  • Dannemann, Jorn
  • Holzmann, Hajo

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  • Dannemann, Jorn & Holzmann, Hajo, 2008. "The likelihood ratio test for hidden Markov models in two-sample problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1850-1859, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:4:p:1850-1859
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    References listed on IDEAS

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    1. Leroux, Brian G., 1992. "Maximum-likelihood estimation for hidden Markov models," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 127-143, February.
    2. Tobias Rydén & Timo Teräsvirta & Stefan Åsbrink, 1998. "Stylized facts of daily return series and the hidden Markov model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 217-244.
    3. Altman, Rachel MacKay, 2007. "Mixed Hidden Markov Models: An Extension of the Hidden Markov Model to the Longitudinal Data Setting," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 201-210, March.
    4. Paolo Giudici & Tobias Ryden & Pierre Vandekerkhove, 2000. "Likelihood-Ratio Tests for Hidden Markov Models," Biometrics, The International Biometric Society, vol. 56(3), pages 742-747, September.
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