Approximate forward-backward algorithm for a switching linear Gaussian model

DOI10.1016/J.CSDA.2010.06.008MaRDI QIDQ452551zbMATH OpenOpenAlexFDO

Authors Hugo Hammer, Håkon Tjelmeland

Publication date 15 September 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2010.06.008

zbMATH Keywords

forwardhidden Markov modelMetropolis-Hastings algorithmapproximationseismic inversionbackward algorithm

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99)

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Cites work

• scientific article; zbMATH DE number 2042684 (Why is no real title available?)
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Bayesian Methods for Hidden Markov Models
• Bayesian lithology/fluid inversion -- comparison of two algorithms
• Dynamic linear models with Markov-switching
• Expectation correction for smoothed inference in switching linear dynamical systems
• Exploring the state sequence space for hidden Markov and semi-Markov chains
• Inference in hidden Markov models.
• Mixture Kalman Filters
• Monte Carlo Smoothing for Nonlinear Time Series
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• State space and hidden Markov models
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• hsmm -- an R package for analyzing hidden semi-Markov models

Cited in

(4)

• Sensitivity indices for independent groups of variables
• Block-diagonal covariance estimation and application to the Shapley effects in sensitivity analysis
• Gaussian linear approximation for the estimation of the Shapley effects
• Approximate posterior distributions for convolutional two-level hidden Markov models

Describes a project that uses

Uses Software

• hsmm

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