On recursive estimation for hidden Markov models
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References listed on IDEAS
- Leroux, Brian G., 1992. "Maximum-likelihood estimation for hidden Markov models," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 127-143, February.
- Ma, D.-J. & Makowski, A.M. & Shwartz, A., 1990. "Stochastic approximations for finite-state Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 35(1), pages 27-45, June.
- Schwabe, R., 1986. "Strong representation of an adaptive stochastic approximation procedure," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 115-130, October.
- Rainer Schwabe & Harro Walk, 1996. "On a stochastic approximation procedure based on averaging," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 44(1), pages 165-180, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Driffill, John & Kenc, Turalay & Sola, Martin & Spagnolo, Fabio, 2004.
"On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts,"
CEPR Discussion Papers
4165, C.E.P.R. Discussion Papers.
- John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008. "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers 2008-04, Universidad Torcuato Di Tella.
More about this item
KeywordsHidden Markov model Incomplete data Missing data Recursive estimation Stochastic approximation Poisson equation;
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