Skip to content
University of Maryland LibrariesDigital Repository at the University of Maryland
    • Login
    View Item 
    •   DRUM
    • A. James Clark School of Engineering
    • Institute for Systems Research Technical Reports
    • View Item
    •   DRUM
    • A. James Clark School of Engineering
    • Institute for Systems Research Technical Reports
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Consistent Estimation of the Order for Markov and Hidden Markov Chains

    Thumbnail
    View/Open
    PhD_91-1.pdf (5.605Mb)
    No. of downloads: 637

    Date
    1991
    Author
    Finesso, Lorenzo
    Advisor
    Baras, John S.
    Metadata
    Show full item record
    Abstract
    The structural parameters of many statistical models can be estimated maximizing a penalized version of the likelihood function. We use this idea to construct strongly consistent estimators of the order for Markov Chains and Hidden Markov Chain models. The specification of the penalty term requires precise information on the rate of growth of the maximized likelihood ratio. For Markov chain models we determine the rate using the Law of the Iterated Logarithm. For Hidden Markov chain models we find an upper bound to the rate using results from Information Theory. We give sufficient conditions on the penalty term to avoid overestimation and underestimation of the order. Examples of penalty terms that generate strongly consitent estimators are also given.
    URI
    http://hdl.handle.net/1903/5159
    Collections
    • Institute for Systems Research Technical Reports

    DRUM is brought to you by the University of Maryland Libraries
    University of Maryland, College Park, MD 20742-7011 (301)314-1328.
    Please send us your comments.
    Web Accessibility
     

     

    Browse

    All of DRUMCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister
    Pages
    About DRUMAbout Download Statistics

    DRUM is brought to you by the University of Maryland Libraries
    University of Maryland, College Park, MD 20742-7011 (301)314-1328.
    Please send us your comments.
    Web Accessibility