Asymptotic properties of the maximum likelihood estimation in misspecified Hidden Markov models

@article{Douc2011AsymptoticPO,
  title={Asymptotic properties of the maximum likelihood estimation in misspecified Hidden Markov models},
  author={Randal Douc and {\'E}ric Moulines},
  journal={arXiv: Statistics Theory},
  year={2011}
}
Let $(Y_k)_{k\in \mathbb{Z}}$ be a stationary sequence on a probability space $(\Omega,\mathcal{A},\mathbb{P})$ taking values in a standard Borel space $\mathsf{Y}$. Consider the associated maximum likelihood estimator with respect to a parametrized family of hidden Markov models such that the law of the observations $(Y_k)_{k\in \mathbb{Z}}$ is not assumed to be described by any of the hidden Markov models of this family. In this paper we investigate the consistency of this estimator in such… 
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