Abstract
Finite state space hidden Markov models are flexible tools to model phenomena with complex time dependencies: any process distribution can be approximated by a hidden Markov model with enough hidden states. We consider the problem of estimating an unknown process distribution using nonparametric hidden Markov models in the misspecified setting, that is when the data-generating process may not be a hidden Markov model. We show that when the true distribution is exponentially mixing and satisfies a forgetting assumption, the maximum likelihood estimator recovers the best approximation of the true distribution. We prove a finite sample bound on the resulting error and show that it is optimal in the minimax sense–up to logarithmic factors–when the model is well specified.
Acknowledgments
I am grateful to Élisabeth Gassiat for her precious advice and insightful discussions. I would also like to thank the anonymous referee for his patience and very helpful review.
Citation
Luc Lehéricy. "Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models." Electron. J. Statist. 15 (2) 4916 - 4965, 2021. https://doi.org/10.1214/21-EJS1890
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