Efficient Bayesian estimation and use of cut posterior in semiparametric hidden Markov models
We consider the problem of estimation in Hidden Markov models with finite state space and nonparametric emission distributions. Efficient estimators for the transition matrix are exhibited, and a semiparametric Bernstein-von Mises result is deduced. Following from this, we propose a modular approach...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Institute of Mathematical Statistics
2024
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