At its core, a Markov chain is a model for predicting the next event in a sequence based only on its state. It possesses ...

This is a preview. Log in through your library . Abstract Hidden Markov models (HMMs) are flexible time series models in which the distribution of the observations depends on unobserved serially ...

We consider penalized estimation in hidden Markov models (HMMs) with multivariate Normal observations. In the moderate-to-large dimensional setting, estimation for HMMs remains challenging in practice ...