In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...

This is a preview. Log in through your library . Abstract This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of ...

Identify characteristics of “good” estimators and be able to compare competing estimators. Construct sound estimators using the techniques of maximum likelihood and method of moments estimation.