Consistent and Asymptotically Normal Parameter Estimates for Hidden Markov Models

Abstract

Hidden Markov models are today widespread for modeling of various phenomena. It has recently been shown by Leroux that the maximum-likelihood estimate (MLE) of the parameters of a such a model is consistent, and local asymptotic normality has been proved by Bickel and Ritov. In this paper we propose a new class of estimates which are consistent, asymptotically normal and almost as good as the MLE.