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Non singularity of the asymptotic Fisher information matrix in hidden Markov models

Randal Douc
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Abstract

In this paper, we consider a parametric hidden Markov model where the hidden state space is non necessarily finite. We provide a necessary and sufficient condition for the invertibility of the limiting Fisher information matrix.

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Randal Douc. 2005-11-25. Non singularity of the asymptotic Fisher information matrix in hidden Markov models. https://arxiv.org/abs/math/0511631

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