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13

WSC
2004

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97views Modeling And Simulation» more WSC 2004»

Risk and Information in the Estimation of Hidden Markov Models

13 years 5 months ago

Risk and Information in the Estimation of Hidden Markov Models

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In this paper, we consider the relationship between risksensitivity and information. Product estimators are introduced as a generalization of Maximum A Posteriori Probability (MAP) estimator for Hidden Markov Models. We study the relationship between the inclusion of higher order moments, the underlying dynamics and the availability of information. Asymptotic periodicity of these estimators and the relationship between risk and information is studied via simulation.

Vahid Reza Ramezani, Steven I. Marcus, Michael C.

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Estimators | Hidden Markov Models | Modeling And Simulation | Posteriori Probability | WSC 2004 |

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Added	31 Oct 2010
Updated	31 Oct 2010
Type	Conference
Year	2004
Where	WSC
Authors	Vahid Reza Ramezani, Steven I. Marcus, Michael C. Fu

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