Mixed space coupled hidden Markov model

DOI10.1515/MCMA-2024-2025MaRDI QIDQ7007876zbMATH OpenFDO

Authors Hafssa Kroumbi, Abdelaziz Nasroallah

Publication date 25 March 2025

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/MCMA-2024-2025

zbMATH Keywords

coupled hidden Markov modelforward-backward algorithmMarkov chainsmixed probability distributionViterbi algorithm

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

Cites work

• A Markov chain model for subsurface characterization: Theory and applications
• A primer on coupled state-switching models for multiple interacting time series
• Gaussian copulas in triplet, partially Markov chains
• Likelihood and decoding problems for mixed space hidden Markov model
• Mixed memory Markov models: Decomposing complex stochastic processes as mixtures of simpler ones
• Perfect simulation of steady-state Markov chain on mixed state space

Cited in

(1)

• Steady state hidden Markov model with rare events

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