Bickel, Peter J.; Ritov, Ya’acov Inference in hidden Markov models. I: Local asymptotic normality in the stationary case. (English) Zbl 1066.62535 Bernoulli 2, No. 3, 199-228 (1996). Summary: Following up on work by Baum and Petrie published 30 years ago, we study likelihood-based methods in hidden Markov models, where the hiding mechanism can lead to continuous observations and is itself governed by a parametric model. We show that procedures essentially equivalent to maximum likelihood estimates are asymptotically normal as expected and consistent estimates of the variance can be constructed, so that the usual inferential procedures are asymptotically valid. Cited in 29 Documents MSC: 62M05 Markov processes: estimation; hidden Markov models 62F12 Asymptotic properties of parametric estimators Keywords:geometric ergodicity; hidden Markov models; local asymptotic normality; maximum likelihood PDFBibTeX XMLCite \textit{P. J. Bickel} and \textit{Y. Ritov}, Bernoulli 2, No. 3, 199--228 (1996; Zbl 1066.62535) Full Text: DOI Euclid