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Large deviations for random dynamical systems and applications to hidden Markov models
Hu, Shulan2; Wu, Liming1,3
2011
Source PublicationSTOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN0304-4149
Volume121Issue:1Pages:61-90
AbstractIn this paper we prove the large deviation principle (LDP) for the occupation measures of not necessarily irreducible random dynamical systems driven by Markov processes The LDP for not necessarily irreducible dynamical systems driven by 11 d sequence is derived As a further application we establish the LDP for extended hidden Markov models filling a gap in the literature and obtain large deviation estimations for the log likelihood process and maximum likelihood estimator of hidden Markov models (c) 2010 Elsevier B V All rights reserved
KeywordLarge deviation Random dynamical systems Hidden Markov models Maximum likelihood estimator
DOI10.1016/j.spa.2010.07.003
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000284815900004
PublisherELSEVIER SCIENCE BV
Citation statistics
Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/12960
Collection中国科学院数学与系统科学研究院
Affiliation1.Univ Clermont Ferrand, CNRS, Lab Math Appl, UMR 6620, F-63177 Aubiere, France
2.Zhongnan Univ Econ & Law, Dept Stat, Wuhan 430073, Hubei, Peoples R China
3.Chinese Acad Sci, Inst Appl Math, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Hu, Shulan,Wu, Liming. Large deviations for random dynamical systems and applications to hidden Markov models[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2011,121(1):61-90.
APA Hu, Shulan,&Wu, Liming.(2011).Large deviations for random dynamical systems and applications to hidden Markov models.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,121(1),61-90.
MLA Hu, Shulan,et al."Large deviations for random dynamical systems and applications to hidden Markov models".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 121.1(2011):61-90.
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