Abstract
Consider a Hidden Markov model where observations are generated by an underlying Markov chain plus a perturbation. The perturbation and the Markov process can be dependent from each other. We apply large deviations result to get an approximate confidence interval for the stationary distribution of the underlying Markov chain.
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Acknowledgements
The author is grateful to anonymous referees for their valuable comments which led to improvements in this paper.
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Del Fabiola, M.G. (2012). Applications of Large Deviations to Hidden Markov Chains Estimation. In: Di Ciaccio, A., Coli, M., Angulo Ibanez, J. (eds) Advanced Statistical Methods for the Analysis of Large Data-Sets. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21037-2_25
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DOI: https://doi.org/10.1007/978-3-642-21037-2_25
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Online ISBN: 978-3-642-21037-2
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