On the Viterbi process with continuous state space

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Chigansky, Pavel
Ritov, Yaacov
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This paper deals with convergence of the maximum a posterior probability path estimator in hidden Markov models. We show that when the state space of the hidden process is continuous, the optimal path may stabilize in a way which is essentially different from the previously considered finite-state setting.
Comment: Published in at http://dx.doi.org/10.3150/10-BEJ294 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
Keywords
Mathematics - Statistics Theory, Mathematics - Probability
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