Efficient Bayesian estimation and use of cut posterior in semiparametric hidden Markov models

03/11/2022
by   Daniel Moss, et al.
0

We consider the problem of estimation in Hidden Markov models with finite state space and nonparametric emission distributions. Efficient estimators for the transition matrix are exhibited, and a semiparametric Bernstein-von Mises result is deduced, extending the work of Gassiat et al. (2018) on mixture models to the HMM setting. Following from this, we propose a modular approach using the cut posterior to jointly estimate the transition matrix and the emission densities. We derive a general theorem on contraction rates for this approach, in the spirit of the seminal work of Ghosal and van der Vaart (2007). We then show how this result may be applied to obtain a contraction rate result for the emission densities in our setting; a key intermediate step is an inversion inequality relating L^1 distance between the marginal densities to L^1 distance between the emissions. Finally, a contraction result for the smoothing probabilities is shown, which avoids the common approach of sample splitting. Simulations are provided which demonstrate both the theory and the ease of its implementation.

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