most citedKullback-Leibler Divergence and Akaike Information Criterion in General Hidden Markov Models

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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…