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stat.CO2023
Computational issues in parameter estimation for hidden Markov models with Template Model Builder
Timothée Bacri, Geir D. Berentsen, Jan Bulla +1
A popular way to estimate the parameters of a hidden Markov model (HMM) is direct numerical maximization (DNM) of the (log-)likelihood function. The advantages of employing the TMB…
stat.CO2022★ 9 cited
A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
Timothée Bacri, Geir D. Berentsen, Jan Bulla +1
A very common way to estimate the parameters of a hidden Markov model (HMM) is the relatively straightforward computation of maximum likelihood (ML) estimates. For this task, most…