REFERENCES FOR LECTURE 4


[1] Hughes, J.P., 1997: "Computing the observed information in the hidden Markov model using the EM algorithm", Statistics and Probability Letters, V. 32, pp. 107-114.

    [Standard errors for hidden Markov model]

[2] Leroux, B.G., and M.L. Puterman, 1992: "Maximum-penalized-likelihood estimation for independent and Markov-dependent mixture models", Biometrics, V. 48, pp. 545-558.

    [EM algorithm for hidden Markov model, model identification]

[3] MacDonald, I.L., and W. Zucchini, 1997: "Hidden Markov and Other Models for Discrete-Valued Time Series", Chapman & Hall.

    [First text on hidden Markov models, except for engineering/speech recognition]