Asymptotic Normality of the Posterior Distributions in a Class of Hidden Markov Models

Chunlei Wang; Sanvesh Srivastava

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arXiv · 2105.14394

Asymptotic Normality of the Posterior Distributions in a Class of Hidden Markov Models

Chunlei Wang·Sanvesh Srivastava

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Abstract

We show that the posterior distribution of parameters in a hidden Markov model with parametric emission distributions and discrete and known state space is asymptotically normal. The main novelty of our proof is that it is based on a testing condition and the sequence of test functions is obtained using an optimal transportation inequality.

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Chunlei Wang, Sanvesh Srivastava. 2021-05-30. Asymptotic Normality of the Posterior Distributions in a Class of Hidden Markov Models. https://arxiv.org/abs/2105.14394

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