Volatility estimation via hidden Markov models

Inventory Estimation From Transactions via Hidden Markov Models

Our work solves the problem of inventory tracking in the retail industry using Hidden Markov Models. It has been observed that inventory records are extremely inaccurate in practice (cf. [1–4]). Reasons for this inaccuracy are item losses due to item theft, mishandling, etc. which are unaccounted. Even more important are the lost sales due to lack of items on the shelf, called stockout losses. ...

Estimation in hidden Markov models via efficient importance sampling

CHENG-DER FUH and INCHI HU 1 Graduate Institute of Statistics, National Central University, Chongli, Taiwan, Republic of China and Institute of Statistical Science, Academia Sinica, Nakang, Taipei 115, Taiwan, Republic of China. E-mail: [email protected] 2 Department of Information and Systems Management, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Honh Ko...

Maximum-likelihood estimation for hidden Markov models

Hidden Markov models assume a sequence of random variables to be conditionally independent given a sequence of state variables which forms a Markov chain. Maximum-likelihood estimation for these models can be performed using the EM algorithm. In this paper the consistency of a sequence of maximum-likelihood estimators is proved. Also, the conclusion of the Shannon-McMillan-Breiman theorem on en...

Adaptive Estimation Techniques for Hidden Markov Models

Parameter estimation in pair hidden Markov models

This paper deals with parameter estimation in pair hidden Markov models (pairHMMs). We first provide a rigorous formalism for these models and discuss possible definitions of likelihoods. The model being biologically motivated, some restrictions with respect to the full parameter space naturally occur. Existence of two different Information divergence rates is established and divergence propert...