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Consistency of the maximum likelihood estimator in seasonal hidden Markov models

  • Augustin TouronEmail author
Article

Abstract

In this paper, we introduce a variant of hidden Markov models in which the transition probabilities between the states, as well as the emission distributions, are not constant in time but vary in a periodic manner. This class of models, which we will call seasonal hidden Markov models (SHMMs), is particularly useful in practice, as many applications involve a seasonal behaviour. However, up to now, there is no theoretical result regarding this kind of model. We show that under mild assumptions, SHMMs are identifiable: we can identify the transition matrices and the emission distributions from the joint distribution of the observations on a period, up to state labelling. We also give sufficient conditions for the strong consistency of the maximum likelihood estimator (MLE). These results are applied to simulated data, using the EM algorithm to compute the MLE. Finally, we show how SHMM can be used in real-world applications by applying our model to precipitation data, with mixtures of exponential distributions as emission distributions.

Keywords

Hidden Markov models Climate modelling Identifiability Maximum likelihood 

Mathematics Subject Classification

62P12 

Notes

Acknowledgements

We thank the anonymous reviewer for his/her comments. The author would like to thank Yohann De Castro, Élisabeth Gassiat, Sylvain Le Corff and Luc Lehéricy from Université Paris-Sud for fruitful discussions and valuable suggestions. This work is supported by EDF. We are grateful to Thi-Thu-Huong Hoang and Sylvie Parey from EDF R&D for providing this subject and for their useful advice.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Laboratoire de Mathématiques d’Orsay, Univ. Paris-Sud, CNRSUniversité Paris-SaclayOrsayFrance
  2. 2.EDF R&DChatou CedexFrance

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