A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models (Q6586563)

scientific article; zbMATH DE number 7895662

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English	A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models	scientific article; zbMATH DE number 7895662

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scholarly article

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title

A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models (English)

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Journal of Statistical Computation and Simulation

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publication date

13 August 2024

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MaRDI profile type

MaRDI publication profile

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cites work

Latent Markov models for longitudinal data

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Hidden Markov models for time series. An introduction using R

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Finite mixture models

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A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains

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Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.

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Mixture and Hidden Markov Models with R

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The Calculation of Posterior Distributions by Data Augmentation

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Calculating posterior distributions and modal estimates in Markov mixture models

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EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective

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Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes

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Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

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Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method

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Bayesian analysis of mixture models with an unknown number of components\,--\,an alternative to reversible jump methods.

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Reversible Jump, Birth-and-Death and More General Continuous Time Markov Chain Monte Carlo Samplers

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Bayesian model choice based on Monte Carlo estimates of posterior model probabilities

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Marginal Likelihood From the Metropolis–Hastings Output

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Hidden Markov Models for Longitudinal Comparisons

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Multivariate output analysis for Markov chain Monte Carlo

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Likelihood‐Ratio Tests for Hidden Markov Models

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Direct maximization of the likelihood of a hidden Markov model

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Mixture Densities, Maximum Likelihood and the EM Algorithm

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Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

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Bayesian estimation of hidden Markov chains: A stochastic implementation

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Equation of State Calculations by Fast Computing Machines

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Monte Carlo sampling methods using Markov chains and their applications

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Dealing With Label Switching in Mixture Models

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Computational and Inferential Difficulties with Mixture Posterior Distributions

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Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models

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Batch means and spectral variance estimators in Markov chain Monte Carlo

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Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates

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Identifiers

DOI

10.1080/00949655.2023.2294098

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Mathematics Subject Classification ID

62-XX

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zbMATH DE Number

7895662

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Sitelinks

Mathematics(1 entry)

mardi Publication:6586563