A note on the mixture transition distribution and hidden Markov models

DOI10.1111/J.1467-9892.2009.00650.XzbMath1224.62030OpenAlexW2027976015WikidataQ59397135 ScholiaQ59397135MaRDI QIDQ3077683

Alessio Farcomeni, Francesco Bartolucci

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00650.x

zbMATH Keywords

EM-algorithmstate-space modeldiscrete-valued time seriesbackward-forward recursion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)

Related Items (12)

Dealing with multiple local modalities in latent class profile analysis ⋮ Mixed Hidden Markov Models for Longitudinal Data: An Overview ⋮ Hidden semi-Markov-switching quantile regression for time series ⋮ Combining endogenous and exogenous variables in a special case of non-parametric time series forecasting model ⋮ General framework and model building in the class of hidden mixture transition distribution models ⋮ On Construction and Estimation of Stationary Mixture Transition Distribution Models ⋮ Bayesian hidden Markov modelling using circular‐linear general projected normal distribution ⋮ Hidden Markov partition models ⋮ Hidden Markov Mixture Autoregressive Models: Stability and Moments ⋮ Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates ⋮ S-estimation of hidden Markov models ⋮ Exploring the randomness of mentally generated head–tail sequences

Cites Work

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• Estimating the dimension of a model
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• Likelihood Inference for a Class of Latent Markov Models under Linear Hypotheses on the Transition Probabilities
• Towards a Unified Theory of Inequality Constrained Testing in Multivariate Analysis
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• A recursive algorithm for Markov random fields
• Estimation and Modelling Repeated Patterns in High Order Markov Chains with the Mixture Transition Distribution Model
• A Multivariate Extension of the Dynamic Logit Model for Longitudinal Data Based on a Latent Markov Heterogeneity Structure
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm

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