Risk and Information in the Estimation of Hidden Markov Models
V.R. Ramezani, S.I. Marcus, Mingxiang Fu · 2005
In this paper, we consider the relationship between risk-sensitivity 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.