Leroux's method for general hidden Markov models

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

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Maximum-likelihood estimation for hidden Markov models

Brian G. Leroux · Stochastic Processes and their Applications · 1992 · 431 citations

Engineering, Computer Science, Machine Learning +11

Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models

Peter J. Bickel, Ya’acov Ritov, Tobias Rydén · The Annals of Statistics · 1998 · 353 citations · Full text

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Stochastic volatility : selected readings

Neil Shephard · RePEc: Research Papers in Economics · 2005 · 335 citations

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On the stability of interacting processes with applications to filtering and genetic algorithms

Pierre Del Moral · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 2001 · 243 citations

Engineering, Biology, Dynamical Systems +16