211 citations · 985 across the 36 of their papers we have counts for
4 papers · 1 filter
Consistency of the maximum likelihood estimator for general hidden Markov models
Randal Douc, Eric Moulines, Jimmy Olsson +1
Consider a parametrized family of general hidden Markov models, where both the observed and unobserved components take values in a complete separable metric space. We prove that th…
A complete solution to Blackwell's unique ergodicity problem for hidden Markov chains
Pavel Chigansky, Ramon van Handel
We develop necessary and sufficient conditions for uniqueness of the invariant measure of the filtering process associated to an ergodic hidden Markov model in a finite or countabl…
On the minimal penalty for Markov order estimation
Ramon van Handel
We show that large-scale typicality of Markov sample paths implies that the likelihood ratio statistic satisfies a law of iterated logarithm uniformly to the same scale. As a conse…
When do nonlinear filters achieve maximal accuracy?
Ramon van Handel
The nonlinear filter for an ergodic signal observed in white noise is said to achieve maximal accuracy if the stationary filtering error vanishes as the signal to noise ratio diver…