most citedEstimation of the Order of Non-Parametric Hidden Markov Models using the Singular Values of an Integral Operator

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math.ST2022★ 1 cited

Estimation of the Order of Non-Parametric Hidden Markov Models using the Singular Values of an Integral Operator

Marie Du Roy de Chaumaray, Salima El Kolei, Marie-Pierre Etienne +1

We are interested in assessing the order of a finite-state Hidden Markov Model (HMM) with the only two assumptions that the transition matrix of the latent Markov chain has full ra…