Confidence intervals for hidden Markov model parameters.

Three methods for computing confidence intervals (CIs) of hidden Markov model parameters are compared in the context of 'long' time series, T > 100, namely likelihood profiling, bootstrapping and CIs based on a finite-differences approximation to the Hessian. First it is shown that with 'long' time series computing the exact Hessian is not feasible. In… (More)