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20132023
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…

math.ST2013

Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases

Pang Tianxiao, Zhang Danna, Chong Terence Tai-Leung

This paper examines the asymptotic inference for AR(1) models with a possible structural break in the AR parameter near the unity at an unknown time . Consider the model…