Direct maximization of the likelihood of a hidden Markov model

DOI10.1016/J.CSDA.2008.01.029MaRDI QIDQ1023760zbMATH OpenOpenAlexFDO

Authors Rolf Turner

Publication date 16 June 2009

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

Full work available at URL https://doi.org/10.1016/j.csda.2008.01.029

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(18)

• Information matrix for hidden Markov models with covariates
• Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
• A new algorithm for inference in HMM's with lower span complexity
• Three-step estimation of latent Markov models with covariates
• A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models
• scientific article; zbMATH DE number 2034454 (Why is no real title available?)
• Maximum-likelihood estimation for hidden Markov models
• On the role of latent variable models in the era of big data
• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• Mixed hidden Markov models for longitudinal data: an overview
• Computational issues in parameter estimation for hidden Markov models with template model builder
• A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
• Seven things to remember about hidden Markov models: A tutorial on Markovian models for time series
• Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers
• scientific article; zbMATH DE number 4135180 (Why is no real title available?)
• eglhmm
• Maximizing Complex Likelihoods via Directed Stochastic Searching Algorithm
• Insurance claims modulated by a hidden Brownian marked point process

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