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Asymptotic Normality of the Posterior Distributions in a Class of Hidden Markov Models

05/30/2021

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by Chunlei Wang, et al.

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We show that the posterior distribution of parameters in a hidden Markov model with parametric emission distributions and discrete and known state space is asymptotically normal. The main novelty of our proof is that it is based on a testing condition and the sequence of test functions is obtained using an optimal transportation inequality.

Chunlei Wang
3 publications
Sanvesh Srivastava
9 publications

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