On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities
协变量依赖转移概率下隐马尔可夫状态的混合模型稳健性
This paper studies the robustness of quasi-maximum-likelihood (QML) estimation in hidden Markov models (HMMs) when the regime-switching structure is misspecified. Specifically, we examine the case where the true data-generating process features a hidden Markov regime sequence with covariate-dependent transition probabilities, but estimation proceeds under a simplified mixture model that assumes regimes are independent and identically distributed. We show that the parameters…