Penalized composite likelihood estimation for hidden Markov models with unknown number of states

Yong Lin and Mian Huang

Statistics & Probability Letters, 2025, vol. 216, issue C

Abstract: Estimating hidden Markov models (HMMs) with unknown number of states is a challenging task. In this paper, we propose a new penalized composite likelihood approach for simultaneously estimating both the number of states and the parameters in an overfitted HMM. We prove the order selection consistency and asymptotic normality of the resultant estimator. Simulation studies and an application demonstrate the finite sample performance of the proposed method.

Keywords: Hidden Markov models; Order selection; Penalized composite likelihood; EM algorithm (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spl.2024.110247

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