46 citations · 100 across the 18 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
stat.CO2023
A General Framework for Importance Sampling with Markov Random Walks
Cheng-Der Fuh, Yanwei Jia, Steven Kou
Although stochastic models driven by latent Markov processes are widely used, the classical importance sampling methods based on the exponential tilting for these models suffers fr…
math.ST2023★ 2 cited
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…