NSCPHD1194 Inference in Hidden Markov Models
MSc programme in Statistics
MSc programme in Actuarial Mathematics
MSc programme in Mathematics-Economics
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Hidden Markov models: Definition and properties. Estimation by direct maximization of the likelihood, by the EM algorithm and further MC methods. Forecasting, decoding and prediction.
The student should know what Hidden markov models are and know about different inference methods.
The 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 on.
- 7,5 ECTS
- Type of assessment
- Written assignment, 27 hoursWritten take-home assignment (handing-out at 9 am and submission at 12 noon the following day).
- Exam registration requirements
To pass the course, the student has to present exercises in class at one of the exercise sessions.
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
Same as ordinary exam. If the requirement of presenting exercises in class during the course is not fulfilled, a written assignment is due two weeks before the re-exam. The assignment will be handed out three weeks before the re-exam.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
- Practical exercises
- Theory exercises