Bayesian estimation of hidden Markov chains: a stochastic implementation

Hidden Markov models lead to intricate computational problems when considered directly. In this paper, we propose an approximation method based on Gibbs sampling which allows an effective derivation of Bayes estimators for these models.

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Year of publication:	1993
Authors:	Robert, Christian P. ; Celeux, Gilles ; Diebolt, Jean
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 16.1993, 1, p. 77-83
Publisher:	Elsevier
Keywords:	Gibbs sampling forward-backward recursion formula ergodicity stochastic restoration geometric convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223232