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Almost sure parameter estimation and convergence rates for hidden Markov models |
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| Authors: | RJ Elliott JB Moore |
| Affiliation: | aDepartment of Mathematical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1;bDepartment of Applied Mathematics, University of Adelaide, Adelaide, SA 5005, Australia;cDepartment of Systems Engineering, Australian National University, Canberra, A.C.T. 0200, Australia |
| Abstract: | A continuous-time version of Kronecker's Lemma is established and used to give rates of convergence for parameter estimates in hidden Markov models. |
| Keywords: | Hidden Markov models Parameter estimation Martingale convergence Kronecker's lemma |
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