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20182023
most citedRobust random walk-like Metropolis-Hastings algorithms for concentrating posteriors

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math.ST2018

Maximum likelihood estimation in hidden Markov models with inhomogeneous noise

Manuel Diehn, Axel Munk, Daniel Rudolf

We consider parameter estimation in finite hidden state space Markov models with time-dependent inhomogeneous noise, where the inhomogeneity vanishes sufficiently fast. Based on th…