Large deviations for random dynamical systems and applications to hidden Markov models

doi:10.1016/j.spa.2010.07.003

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	Large deviations for random dynamical systems and applications to hidden Markov models
	Hu, Shulan 2; Wu, Liming 1,3
	2011
发表期刊	STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN	0304-4149
卷号	121 期号:1 页码:61-90
摘要	In 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
关键词	Large deviation Random dynamical systems Hidden Markov models Maximum likelihood estimator
DOI	10.1016/j.spa.2010.07.003
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000284815900004
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12960
专题	中国科学院数学与系统科学研究院
通讯作者	Wu, Liming
作者单位	1.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
推荐引用方式 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.