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Likelihood Ratio Testing for Hidden Markov Models Under Non-standard Conditions

✍ Scribed by JÖRN DANNEMANN; HAJO HOLZMANN


Book ID
111008882
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
769 KB
Volume
35
Category
Article
ISSN
0303-6898

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Erratum: The likelihood ratio test under
✍ Bruce E. Hansen 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 143 KB 👁 2 views

There was an error in Hansen (1992). I am very grateful to James Hamilton for pointing out the error. Equations ( 2) and (3) in the original read where Q ( a ) is a mean zero Gaussian process with covariance function K(ai, a21 = E(q;(ai)~i(ad). While equation ( 2) is correct, (3) is not. Instead,