ABSTRACT
As alternative to the frequentist approach, one can also consider Bayesian estimation. There are several approaches to Bayesian inference in hidden Markov models: see for instance Chib (1996), Robert and Titterington (1998), Robert, Ryde´n and Titterington (2000), Scott (2002), Cappe´ et al. (2005) and Fru¨hwirth-Schnatter (2006). Here we follow Scott (2002) and Congdon (2006).
