Stockis, Jean-Pierre; Tadjuidje-Kamgaing, Joseph; … - In: Statistics & Probability Letters 78 (2008) 6, pp. 739-742
We consider a generalized mixture of nonlinear AR models, a hidden Markov model for which the autoregressive functions are single layer feedforward neural networks. The nontrivial problem of identifiability, which is usually postulated for hidden Markov models, is addressed here.