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• W2076645275 abstract "When the unobservable Markov chain in a hidden Markov model is stationary the marginal distribution of the observations is a finite mixture with the number of terms equal to the number of the states of the Markov chain. This suggests the number of states of the unobservable Markov chain can be estimated by determining the number of mixture components in the marginal distribution. This paper presents new methods for estimating the number of states in a hidden Markov model, and coincidentally the unknown number of components in a finite mixture, based on penalized quasi-likelihood and generalized quasi-likelihood ratio methods constructed from the marginal distribution. The procedures advocated are simple to calculate, and results obtained in empirical applications indicate that they are as effective as current available methods based on the full likelihood. Under fairly general regularity conditions, the methods proposed generate strongly consistent estimates of the unknown number of states or components." @default.
• W2076645275 created "2016-06-24" @default.
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• W2076645275 date "2005-09-01" @default.
• W2076645275 modified "2023-10-06" @default.
• W2076645275 title "ESTIMATING COMPONENTS IN FINITE MIXTURES AND HIDDEN MARKOV MODELS" @default.
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• W2076645275 doi "https://doi.org/10.1111/j.1467-842x.2005.00393.x" @default.
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