46 citations · 100 across the 18 of their papers we have counts for
8 papers · 1 filter
Determine the Number of States in Hidden Markov Models via Marginal Likelihood
Yang Chen, Cheng-Der Fuh, Chu-Lan Michael Kao
Hidden Markov models (HMM) have been widely used by scientists to model stochastic systems: the underlying process is a discrete Markov chain and the observations are noisy realiza…
Kullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models
Cheng-Der Fuh, Chu-Lan Michael Kao, Tianxiao Pang
To characterize the Kullback-Leibler divergence and Fisher information in general parametrized hidden Markov models, in this paper, we first show that the log likelihood and its de…
Reply to on some problems in the article "Efficient likelihood estimation in state space models" by Cheng-Der Fuh [Ann, Statist. 34 (2006) 2026-2068]
Cheng-Der Fuh, Chu-Lan Kao
This note replies Dr. Jensen (2010) comments on Problem 2.3, which was left in Fuh (2010). In the following, we use the same notations and definitions in Fuh (2006) unless specifie…
Asymptotic Bayesian Theory of Quickest Change Detection for Hidden Markov Models
Chen-Der Fuh, Alexander G. Tartakovsky
In the 1960s, Shiryaev developed a Bayesian theory of change-point detection in the i.i.d. case, which was generalized in the beginning of the 2000s by Tartakovsky and Veeravalli f…
Multi-armed bandit problem with precedence relations
Hock Peng Chan, Cheng-Der Fuh, Inchi Hu
Consider a multi-phase project management problem where the decision maker needs to deal with two issues: (a) how to allocate resources to projects within each phase, and (b) when…
Efficient likelihood estimation in state space models
Cheng-Der Fuh
Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in st…