Maximum Likelihood Estimators for Multivariate Hidden Markov Mixture Models
Joseph Tadjuidje Kamgaing · 2013
In this paper we consider a multivariate switching model, with constant states means and covariances. In this model, the switching mechanism between the basic states of the observed time series is controlled by a hidden Markov chain. As illustration, under Gaussian assumption on the innovations and some rather simple conditions, we prove the consistency and asymptotic normality of the maximum likelihood estimates of the model parameters.