An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models

DOI10.1080/03610920802040415MaRDI QIDQ3532764zbMATH OpenOpenAlexFDO

Authors Mohamed Saidane, Christian Lavergne

Publication date 28 October 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802040415

zbMATH Keywords

conditional heteroscedasticityEM algorithmHMMlatent factor modelsmodel selection

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A new look at the statistical model identification
• An analysis of variance test for normality (complete samples)
• Analysis of time series subject to changes in regime
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Conditionally heteroscedastic factorial HMMs for time series in finance
• Dynamic linear models with Markov-switching
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1247156 (Why is no real title available?)
• scientific article; zbMATH DE number 821283 (Why is no real title available?)
• Identification, estimation and testing of conditionally heteroskedastic factor models
• Quadratic ARCH Models
• Volatility and Links between National Stock Markets

Cited in

(2)

• A maximum likelihood approach to temporal factor analysis in state-space model
• State Estimation Schemes for Independent Component Coupled Hidden Markov Models

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