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math.ST2011★ 50 cited
Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
Randal Douc, Eric Moulines
Let be a stationary sequence on a probability space taking values in a standard Borel space . Consider the associ…
math.ST2011
A simple variance inequality for U-statistics of a Markov chain with applications
Gersende Fort, Eric Moulines, Pierre Priouret +1
We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain. The constants in this inequality are explicit a…
math.ST2011
A central limit theorem for adaptive and interacting Markov chains
Gersende Fort, Eric Moulines, Pierre Priouret +1
Adaptive and interacting Markov Chains Monte Carlo (MCMC) algorithms are a novel class of non-Markovian algorithms aimed at improving the simulation efficiency for complicated targ…