Risk and Information in the Estimation of Hidden Markov Models

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.

• Type: Conference
• Year: 2004
• Where: WSC
• Authors: Vahid Reza Ramezani, Steven I. Marcus, Michael C. Fu
• Keywords: Estimators, Hidden Markov Models, Modeling And Simulation, Posteriori Probability, WSC 2004