Selecting hidden Markov model state number with cross-validated likelihood
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References listed on IDEAS
- Robert, Christian P. & Celeux, Gilles & Diebolt, Jean, 1993. "Bayesian estimation of hidden Markov chains: a stochastic implementation," Statistics & Probability Letters, Elsevier, vol. 16(1), pages 77-83, January.
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KeywordsHidden Markov models; Model selection; Cross-validation; Missing values at random; EM algorithm;
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