Likelihood-Ratio Tests for Hidden Markov Models

Authors: Giudici, Paolo1; Ryden, Tobias2; Vandekerkhove, Pierre1

Source: Biometrics, Volume 56, Number 3, September 2000 , pp. 742-747(6)

Publisher: Blackwell Publishing

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Abstract:

Summary.

We consider hidden Markov models as a versatile class of models for weakly dependent random phenomena. The topic of the present paper is likelihood-ratio testing for hidden Markov models, and we show that, under appropriate conditions, the standard asymptotic theory of likelihood-ratio tests is valid. Such tests are crucial in the specification of multivariate Gaussian hidden Markov models, which we use to illustrate the applicability of our general results. Finally, the methodology is illustrated by means of a real data set.

Keywords: Gaussian hidden Markov model; Likelihood-ratio test; Multivariate hidden Markov model; Temporal graphical model

Document Type: Research article

DOI: 10.1111/j.0006-341X.2000.00742.x

Affiliations: 1: Department of Economics and Quantitative Methods, University of Pavia, Via San Felice 5, 27100 Pavia, Italy 2: Centre for Mathematical Sciences, Lund University, Box 118, 221 00 Lund, Sweden

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