On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities

Demian Pouzo, Martin Sola, Zacharias Psaradakis

This paper studies the robustness of quasi-maximum-likelihood (QML) estimation in hidden Markov models (HMMs) when the regime-switching structure is misspecified. Specifically, we…