Bayesian hidden Markov modelling using circular‐linear general projected normal distribution
From MaRDI portal
Abstract: We introduce a multivariate hidden Markov model to jointly cluster time-series observations with different support, i.e. circular and linear. Relying on the general projected normal distribution, our approach allows for bimodal and/or skewed cluster-specific distributions for the circular variable. Furthermore, we relax the independence assumption between the circular and linear components observed at the same time. Such an assumption is generally used to alleviate the computational burden involved in the parameter estimation step, but it is hard to justify in empirical applications. We carry out a simulation study using different data-generation schemes to investigate model behavior, focusing on well recovering the hidden structure. Finally, the model is used to fit a real data example on a bivariate time series of wind speed and direction.
Cites work
- A circular-circular regression model
- A multivariate extension of the dynamic logit model for longitudinal data based on a latent Markov heterogeneity structure
- A multivariate hidden Markov model for the identification of sea regimes from incomplete skewed and circular time series
- A note on the mixture transition distribution and hidden Markov models
- Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes
- Directional data analysis under the general projected normal distribution
- EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective
- Finite mixture and Markov switching models.
- Hidden Markov Models for Time Series
- Hierarchical Dirichlet Processes
- scientific article; zbMATH DE number 2020395 (Why is no real title available?)
- Inference in hidden Markov models.
- Joint spatio-temporal analysis of a linear and a directional variable: space-time modeling of wave heights and wave directions in the Adriatic Sea
- Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
- Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
- Mixed hidden Markov models for longitudinal data: an overview
- Model-based clustering of multivariate skew data with circular components and missing values
- Modeling space and space-time directional data using projected Gaussian processes
- Parameter estimation for hidden Markov models with intractable likelihoods
- Particle Markov Chain Monte Carlo Methods
- Reversible jump and the label switching problem in hidden Markov models
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Selecting hidden Markov model state number with cross-validated likelihood
- Some Angular-Linear Distributions and Related Regression Models
- Spatial analysis of wave direction data using wrapped Gaussian processes
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Topics in circular statistics. With 1 IBM-PC floppy disk (3. 5 inch, HD)
Cited in
(7)- Spatio-temporal circular models with non-separable covariance structure
- Modeling animal movement with directional persistence and attractive points
- A circular nonhomogeneous hidden Markov field for the spatial segmentation of wildfire occurrences
- Model-based clustering for noisy longitudinal circular data, with application to animal movement
- Joint modeling of wind speed and wind direction through a conditional approach
- A poly-cylindrical Bayesian network for clustering oceanographic data
- Bivariate change point detection in movement direction and speed
This page was built for publication: Bayesian hidden Markov modelling using circular‐linear general projected normal distribution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6139133)
