MSc programme in Statistics
MSc programme in Actuarial Mathematics
MSc programme in Mathematics-Economics
Hidden Markov models: Definition and properties.
Estimation by direct maximization of the likelihood, by the EM
algorithm and further MC methods. Forecasting, decoding and
The student should know what Hidden markov models are and know
about different inference methods.
students shall be able to set up hidden Markov models, and obtain
insight into accessible methods of parameter estimation, and apply
them to relevant models.
The student should be able to generalize from the specific models
introduced in the course to specific problems encountered further
Teaching and learning methods
2 + 2 hours of lectures and 2 hours of exercise
sessions per week for 7 weeks.