Maximum likelihood estimator for hidden Markov models in continuous time
P. Chigansky · 2009
Abstract. The paper studies large sample asymptotic properties of the Maximum Likelihood Estimator (MLE) for the parameter of a continuous time Markov chain, observed in white noise. Using the method of weak convergence of likelihoods due to I.Ibragimov and R.Khasminskii [13], consistency, asymptotic normality and convergence of moments are established for MLE under certain strong ergodicity conditions of the chain. 1.