Report
Observed Fisher Information in hidden Markov models - Application to a noisy Gaussian random walk
| Τίτλος: | Observed Fisher Information in hidden Markov models - Application to a noisy Gaussian random walk |
|---|---|
| Συγγραφείς: | Lefebvre, Alexandra, Nuel, Grégory |
| Συνεισφορές: | Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité) |
| Πηγή: | https://hal.science/hal-05639623 ; 2026. |
| Στοιχεία εκδότη: | CCSD |
| Έτος έκδοσης: | 2026 |
| Θεματικοί όροι: | Observed Fisher Information Oakes's identity hidden Markov models Noisy Gaussian random walk Exact computation Forward-backward recursions, Observed Fisher Information, Oakes's identity, hidden Markov models, Noisy Gaussian random walk, Exact computation, Forward-backward recursions, [STAT.CO]Statistics [stat]/Computation [stat.CO] |
| Περιγραφή: | In this work we provide analytical and closed-form expressions for the exact computation of the score and the observed Fisher information matrix in a Gaussian random walk observed through Gaussian noise. Our method is based on the Oakes' identity and, as for the computation of the log-likelihood, its complexity in time is linear in the length of the sequence with the forward-backward (or Baum-Welch) algorithm. We illustrate the method over various simulation studies and provide parameter estimates computed with the Newton-Raphson algorithm along with confidence intervals. |
| Τύπος εγγράφου: | report |
| Γλώσσα: | English |
| Relation: | info:eu-repo/semantics/altIdentifier/arxiv/2606.02118; ARXIV: 2606.02118 |
| Διαθεσιμότητα: | https://hal.science/hal-05639623 https://hal.science/hal-05639623v1/document https://hal.science/hal-05639623v1/file/Manuscript.pdf |
| Rights: | https://creativecommons.org/licenses/by/4.0/ ; info:eu-repo/semantics/OpenAccess |
| Αριθμός Καταχώρησης: | edsbas.414E207C |
| Βάση Δεδομένων: | BASE |
| Η περιγραφή δεν είναι διαθέσιμη |