Hidden Markov Models for Time Series

DOI10.1201/9781420010893zbMath1180.62130OpenAlexW4240912299MaRDI QIDQ5901552

Publication date: 21 April 2009

Full work available at URL: https://doi.org/10.1201/9781420010893

Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (only showing first 100 items - show all)

Dealing with multiple local modalities in latent class profile analysis ⋮ Exploring the longevity risk using statistical tools derived from the Shiryaev-Roberts procedure ⋮ A generalized mixture model applied to diabetes incidence data ⋮ Understanding and Addressing the Unbounded “Likelihood” Problem ⋮ Modelling species abundance in a river by negative binomial hidden Markov models ⋮ Mixed Hidden Markov Models for Longitudinal Data: An Overview ⋮ Self-exciting threshold binomial autoregressive processes ⋮ Maximum likelihood estimation of the Markov-switching GARCH model ⋮ Three-step estimation of latent Markov models with covariates ⋮ A Bayesian test for the hot hand phenomenon ⋮ Using HMM to Model Neural Dynamics and Decode Useful Signals for Neuroprosthetic Control ⋮ Tuning the EM-test for finite mixture models ⋮ Localizing the latent structure canonical uncertainty: entropy profiles for hidden Markov models ⋮ Pattern identification and characterization reveal permutations of organs as a key genetically controlled property of post-meristematic phyllotaxis ⋮ Nonparametric inference in hidden Markov models using P‐splines ⋮ A hidden Markov model to estimate homozygous-by-descent probabilities associated with nested layers of ancestors ⋮ Model Checking for Hidden Markov Models ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ A discrete time event‐history approach to informative drop‐out in mixed latent Markov models with covariates ⋮ The bounded coalescent model: conditioning a genealogy on a minimum root date ⋮ Modeling zero inflation in count data time series with bounded support ⋮ Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers ⋮ Testing for the number of states in hidden Markov models ⋮ Gaussian quadrature approximations in mixed hidden Markov models for longitudinal data: a simulation study ⋮ Bayesian methods for time series of count data ⋮ Goodness-of-fit testing of a count time series' marginal distribution ⋮ A class of max-INAR(1) processes with explanatory variables ⋮ Hidden Markov models revealing the stress field underlying the earthquake generation ⋮ Maximum likelihood estimation of mark-recapture-recovery models in the presence of continuous covariates ⋮ Reflected stochastic differential equation models for constrained animal movement ⋮ Threshold models in time series analysis -- some reflections ⋮ Latent drop-out based transitions in linear quantile hidden Markov models for longitudinal responses with attrition ⋮ Count Time Series: A Methodological Review ⋮ On binary and categorical time series models with feedback ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure ⋮ Unnamed Item ⋮ Gaussian copula marginal regression ⋮ Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models ⋮ Threshold negative binomial autoregressive model ⋮ Hidden Markov models with arbitrary state dwell-time distributions ⋮ A non-homogeneous hidden Markov model for predicting the distribution of sea surface elevation ⋮ A dynamic analysis of stock markets using a hidden Markov model ⋮ On a bounded bimodal two-sided distribution fitted to the Old-Faithful geyser data ⋮ Analysing the course of public trust via hidden Markov models: a focus on the Polish society ⋮ Seven things to remember about hidden Markov models: A tutorial on Markovian models for time series ⋮ About the posterior distribution in hidden Markov models with unknown number of states ⋮ Estimation and application of semiparametric stochastic volatility models based on kernel density estimation and hidden Markov models ⋮ Modeling proportions and marginal counts simultaneously for clustered multinomial data with random cluster sizes ⋮ The max-BARMA models for counts with bounded support ⋮ A continuous-time HMM approach to modeling the magnitude-frequency distribution of earthquakes ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models ⋮ A multivariate hidden Markov model for the identification of sea regimes from incomplete skewed and circular time series ⋮ A sequential Monte Carlo approach for MLE in a plant growth model ⋮ Modeling the diving behavior of whales: a latent-variable approach with feedback and semi-Markovian components ⋮ Modeling the coupled return-spread high frequency dynamics of large tick assets ⋮ Multiple hidden Markov models for categorical time series ⋮ Markov-switching generalized additive models ⋮ A hidden Markov-model for gene mapping based on whole-genome next generation sequencing data ⋮ A comparison of some criteria for states selection in the latent Markov model for longitudinal data ⋮ Model Selection and Averaging in Financial Risk Management ⋮ Wavelet-based feature extraction using probabilistic finite state automata for pattern classification ⋮ Stylised facts of financial time series and hidden Markov models in continuous time ⋮ Multivariate Cox Hidden Markov models with an application to operational risk ⋮ Random environment integer-valued autoregressive process ⋮ An integer-valued threshold autoregressive process based on negative binomial thinning ⋮ Maximum penalized likelihood estimation in semiparametric mark-recapture-recovery models ⋮ Information matrix for hidden Markov models with covariates ⋮ Hidden Markov models with state-dependent mixtures: minimal representation, model testing and applications to clustering ⋮ Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates ⋮ Mining categorical sequences from data using a hybrid clustering method ⋮ Flexible Latent-State Modelling of Old Faithful's Eruption Inter-Arrival Times in 2009 ⋮ Posterior consistency for partially observed Markov models ⋮ Multivariate longitudinal data analysis with mixed effects hidden Markov models ⋮ New formulation of the logistic-Gaussian process to analyze trajectory tracking data ⋮ Analysis of single particle diffusion with transient binding using particle filtering ⋮ A Dynamic Latent Model for Poverty Measurement ⋮ SPC methods for time-dependent processes of counts—A literature review ⋮ Robust fitting of hidden Markov regression models under a longitudinal setting ⋮ A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION ⋮ Modelling counts with state-dependent zero inflation ⋮ On count time series prediction ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ Self-Excited Threshold Poisson Autoregression ⋮ Lévy or Not? Analysing Positional Data from Animal Movement Paths ⋮ Penalized maximum likelihood estimation for Gaussian hidden Markov models ⋮ Order selection for regression-based hidden Markov model ⋮ Mixtures of Nonlinear Poisson Autoregressions ⋮ Structured priors for sparse probability vectors with application to model selection in Markov chains ⋮ A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood ⋮ Model-based two-way clustering of second-level units in ordinal multilevel latent Markov models ⋮ Posterior consistency for nonparametric hidden Markov models with finite state space ⋮ Using Hidden Markov Models to Deal with Availability Bias on Line Transect Surveys ⋮ Filtering and change point estimation for hidden Markov-modulated Poisson processes ⋮ Handling non-ignorable dropouts in longitudinal data: a conditional model based on a latent Markov heterogeneity structure ⋮ A New Method for Learning Imprecise Hidden Markov Models ⋮ Semiparametric stochastic volatility modelling using penalized splines ⋮ Comments on: ``Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates ⋮ A two-stage deep learning architecture for model reduction of parametric time-dependent problems

Uses Software

This page was built for publication: Hidden Markov Models for Time Series