Maximum Entropy Estimator for Hidden Markov Models: Reduction to Dimension 2
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In the paper, we introduce the maximum entropy estimator based on 2-dimensional empirical distribution of the observation sequence of hidden Markov model , when the sample size is big: in that case computing the maximum likelihood estimator is too consuming in time by the classical Baum-Welch EM algorithm. We prove the consistency and the asymptotic normality of the maximum entropy estimator in a quite general framework, where the asymptotic covariance matrix is explicitly estimated in terms of the 2-dimensional Fisher information. To complement it, the 2-dimensional relative entropy is skillfully used to study the hypotheses testing problem. Furthermore, we propose 2-dimensional maximum entropy algorithm for finding the maximum entropy estimator, which works for very large observation dataset and large hidden states set. Some numerical examples are furnished and commented for illustrating our theoretical results.
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