Advances and Applications in Statistics
Volume 5, Issue 2, Pages 183 - 195
(August 2005)
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STATIONARY DISTRIBUTION ESTIMATION IN HIDDEN MARKOV MODELS
C. C. Y. Dorea (Brazil), G. L. Gilardoni (Brazil) and C. R. Gon硬ves (Brazil)
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Abstract: Let {Xn, Yn}describe a HMM with values on a denumerable space, being {Yn}the observable process. In this note, we present a class of kernel estimates for the stable distribution of {Yn}. It is shown that the estimates are strongly consistent with exponential rate of convergence. Also, we exhibit situations where the stationary distribution of the non-observable process {Xn}can be determined through the stable distribution of {Yn}. |
Keywords and phrases: hidden Markov model, kernel estimate, stationary distribution. |
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