Inference in hidden Markov models.
This monograph is an attempt to present a reasonably complete up-to-date picture of the field of Hidden Markov Models (HHM) that is self-contained from a theoretical point of view and self-sufficient from a methodological point of view. The objective is not restricted to models with finite state space, but also includes models with continuous state space. The special cases of HMMs with finite state space and Gaussian linear state-space models are detailed in separate chapters. The book starts with an introductory chapter which explains HMMs, and gives examples of the use of HMMs in a variety of fields. This chapter also describes various extensions of HMMs, like models with autoregression. The main definitions and notations are presented next. The first part is on state inference. This part has seven chapters. The main keywords are smoothing, filtering, and Monte Carlo methods. The second part, 4 chapters, is on parametric inference. Mainly, maximum likelihood inference is explored. But one chapter is on fully Bayesian approaches, too. Background and complements are offered in Part 3. A primer on Markov chains and an information-theoretic perspective on order estimation are presented in the two chapters. Appendices present basic fact about conditionig and linear prediction. The book is written for academic researchers in the field of HMMs, and also for practitioners and researchers from other fields. This broad audience is served by summing up the results obtained so far and presenting some new ideas on the one hand. On the other hand, the reader is led through the computational steps required for making inference in HMMs. Also, the text provides him with the relevant underlying statistical theory. Familiarity with probability and statistical estimation is assumed. The primer on Markov chains in part III is more a brush-up than a comprehensive treatise of the subject. Besides giving proofs for the theorems, all the theory is illustrated with relevant running examples. This voluminous book has indeed the potential to become a standard text on HMM.
- scientific article; zbMATH DE number 722978
- Inference in hidden Markov models. I: Local asymptotic normality in the stationary case.
- scientific article; zbMATH DE number 218980
- Introduction to hidden semi-Markov models
- EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective
- Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
- The adjusted Viterbi training for hidden Markov models
- A minimum description length approach to hidden Markov models with Poisson and Gaussian emissions. Application to order identification
- Reversible jump and the label switching problem in hidden Markov models
- Forgetting the initial distribution for hidden Markov models
- Time series analysis via mechanistic models
- The likelihood ratio test for hidden Markov models in two-sample problems
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- NHPP models with Markov switching for software reliability
- Direct maximization of the likelihood of a hidden Markov model
- Unawareness, priors and posteriors
- The stability of conditional Markov processes and Markov chains in random environments
- A Bayes estimator of parameters of nonlinear dynamic systems
- Uniform time average consistency of Monte Carlo particle filters
- Subspace estimation and prediction methods for hidden Markov models
- Identifiability of parameters in latent structure models with many observed variables
- On estimation for Brownian motion governed by telegraph process with multiple off states
- Fast estimation of posterior probabilities in change-point analysis through a constrained hidden Markov model
- Dealing with multiple local modalities in latent class profile analysis
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Modelling species abundance in a river by negative binomial hidden Markov models
- Statistical modelling of individual animal movement: an overview of key methods and a discussion of practical challenges
- Maximum likelihood estimation of the Markov-switching GARCH model
- Parameter estimation via stochastic variants of the ECM algorithm with applications to plant growth modeling
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices
- The sample size required in importance sampling
- Estimation of agent-based models using sequential Monte Carlo methods
- Robust measurement of (heavy-tailed) risks: theory and implementation
- Fast smoothing in switching approximations of non-linear and non-Gaussian models
- Approximate maximum likelihood estimation using data-cloning ABC
- Testing for the number of states in hidden Markov models
- Gaussian quadrature approximations in mixed hidden Markov models for longitudinal data: a simulation study
- Sequential Bayesian inference for static parameters in dynamic state space models
- Hidden semi-Markov models for predictive maintenance
- Hidden Markov models revealing the stress field underlying the earthquake generation
- Reflected stochastic differential equation models for constrained animal movement
- A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
- A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers
- Predictive coarse-graining
- Alternative approaches for econometric modeling of panel data using mixture distributions
- HMM with emission process resulting from a special combination of independent Markovian emissions
- Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models
- Queueing for an infinite bus line and aging branching process
- On coupling particle filter trajectories
- Multilevel particle filters: normalizing constant estimation
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- Asymptotic bias of stochastic gradient search
- Biased online parameter inference for state-space models
- A method for high-dimensional smoothing
- Unsupervised segmentation of hidden Markov fields corrupted by correlated non-Gaussian noise
- Bayesian analysis for mixture of latent variable hidden Markov models with multivariate longitudinal data
- Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
- Tempered particle filtering
- Numerically stable online estimation of variance in particle filters
- Two-scale spatial models for binary data
- Simulation optimization of risk measures with adaptive risk levels
- On parameter estimation of the hidden Ornstein-Uhlenbeck process
- Multiplicative Kalman filtering
- Computational advances for and from Bayesian analysis
- Specification tests based on MCMC output
- A comparative study of pricing approaches for longevity instruments
- Dual time-frequency domain system identification
- MARM processes. I: General theory
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- Penalized estimate of the number of states in Gaussian linear AR with Markov regime
- Sparse covariance estimation in heterogeneous samples
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Credit portfolios, credibility theory, and dynamic empirical Bayes
- An improved method for voice pathology detection by means of a HMM-based feature space transformation
- A hidden Markov model based on superposition of two restoration processes
- Asymptotic analysis of model selection criteria for general hidden Markov models
- On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
- Hidden Markov model with Markovian emission
- On localization of source by hidden Gaussian processes with small noise
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
- Exponential forgetting of smoothing distributions for pairwise Markov models
- Exact inference for a class of hidden Markov models on general state spaces
- Using prior expansions for prior-data conflict checking
- Unbiased estimation of the gradient of the log-likelihood in inverse problems
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
- Hidden Markov models: inverse filtering, belief estimation and privacy protection
- Learning hidden Markov models from aggregate observations
- Information geometry approach to parameter estimation in hidden Markov model
- Sequential sampling of junction trees for decomposable graphs
- Variational system identification for nonlinear state-space models
- SVARs with occasionally-binding constraints
- Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
- Incorporating physical constraints in a deep probabilistic machine learning framework for coarse-graining dynamical systems
- Detecting and modeling changes in a time series of proportions
- Varying-coefficient hidden Markov models with zero-effect regions
- Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Markov-switching state-space models with applications to neuroimaging
- Quantile hidden semi-Markov models for multivariate time series
- Reliability and survival analysis for drifting Markov models: modeling and estimation
- On a Metropolis-Hastings importance sampling estimator
- Stability of optimal filter higher-order derivatives
- Continuous time hidden Markov model for longitudinal data
- Particle methods for statistical inference and design optimization
This page was built for publication: Inference in hidden Markov models.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2388882)
