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Parameter estimation for hidden Markov chains. (English) Zbl 1021.62060

Summary: The problem of estimating parameters within hidden Markov models is not straightforward. In particular, calculation of maximum likelihood estimates (MLE) is nontrivial. Some variations on MLE are described that are computationally less burdensome, and detailed comparisons are drawn for the case of hidden binary isotropic Markov chains.

MSC:

62M05 Markov processes: estimation; hidden Markov models
65C60 Computational problems in statistics (MSC2010)
62F10 Point estimation
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