Calculating posterior distributions and modal estimates in Markov mixture models

DOI10.1016/0304-4076(95)01770-4MaRDI QIDQ1126462zbMATH OpenOpenAlexFDO

Authors Siddhartha Chib

Publication date 8 December 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(95)01770-4

zbMATH Keywords

Markov chain Monte Carlodata augmentationPoisson distributionlatent variablesstochastic EM algorithmfinite mixture modelshidden Markov modelsGibbs samplingautoregressive time seriesmaximum likelihood estimateMarkov switching modelsmultivariate normal mixturefull Bayesian approachmixtures of multivariate normal distributionsPoisson data

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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• On simulated EM algorithms
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• Theory and inference for a Markov switching GARCH model
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• Posterior moments computed by mixed integration
• Modeling covariance breakdowns in multivariate GARCH
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• Perfect posterior simulation for mixture and hidden Markov models
• Markov switching component GARCH model: stability and forecasting
• Importance sampling schemes for evidence approximation in mixture models
• Robust identification of highly persistent interest rate regimes
• Climate inference on daily rainfall across the Australian continent, 1876--2015
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• Bayesian analysis of quantile regression for censored dynamic panel data
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• AN EXCLUSIVE REGRESSORS BINARY MIXTURE MODEL WITH AN APPLICATION TO LABOUR SUPPLY
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• Multiple imputation of longitudinal categorical data through Bayesian mixture latent Markov models
• Forecasting inflation using time-varying Bayesian model averaging
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• Reversible jump and the label switching problem in hidden Markov models
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• Adaptive rejection Metropolis simulated annealing for detecting global maximum regions
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• Scalable Bayesian Inference for Coupled Hidden Markov and Semi-Markov Models
• Dealing with multiple local modalities in latent class profile analysis
• Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
• Handling the label switching problem in latent class models via the ECR algorithm
• Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
• Exact inference for a class of hidden Markov models on general state spaces
• Posterior Simulation in Countable Mixture Models for Large Datasets
• Time reversibility of stationary regular finite-state Markov chains
• A Bayesian Change-Point Analysis for Software Reliability Models
• Bayesian analysis of switching ARCH models
• Finite mixture and Markov switching models.
• Forecasting with non-homogeneous hidden Markov models
• Nonstationarities and Markov switching models
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• Modeling U.S. inflation dynamics: a Bayesian nonparametric approach
• Detection of bursts in extracellular spike trains using hidden semi-Markov point process models
• Confronting model misspecification in macroeconomics
• Semiparametric multivariate and multiple change-point modeling
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• A sparse matrix approach to Bayesian computation in large linear models
• A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models
• The future of branch cash holdings management is here: new Markov chains
• Bayesian approach for mixture models with grouped data
• Bayesian Analysis of Discrete Survival Data with a Hidden Markov Chain
• Markov switch smooth transition HYGARCH model: stability and estimation
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
• Bayesian analysis of dynamic linear topic models
• MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
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• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Bayesian Variable Selection in Markov Mixture Models
• A generalized mixture model applied to diabetes incidence data
• Bayesian estimation of an extended local scale stochastic volatility model
• Bayesian semiparametric modeling of realized covariance matrices
• Water flow probabilistic predictions based on a rainfall-runoff simulator: a two-regime model with variable selection
• Variational Bayesian analysis for hidden Markov models
• Marginal likelihood for Markov-switching and change-point GARCH models
• The marginal likelihood of dynamic mixture models
• A Monte Carlo Markov chain algorithm for a class of mixture time series models
• Hierarchical Bayesian Approach to a Multi-Site Hidden Markov Model
• MCMC implementation for Bayesian hidden semi-Markov models with illustrative applications
• A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
• Autoregressive Moving Average Infinite Hidden Markov-Switching Models
• Inference and Model Choice for Sequentially Ordered Hidden Markov Models
• Markov-switching quantile autoregression: a Gibbs sampling approach
• Context Learning in the Rodent Hippocampus
• Efficient Gibbs sampling for Markov switching GARCH models
• On Gibbs sampling for state space models
• Exploring the state sequence space for hidden Markov and semi-Markov chains
• Bayesian analysis for mixture of latent variable hidden Markov models with multivariate longitudinal data
• A fully Bayesian mixture model approach for identifying noncompliance in a regulatory tobacco clinical trial
• Efficient Bayesian estimation of the multivariate double chain Markov model
• Bayesian estimation of generalized hyperbolic skewed student GARCH models
• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
• NHPP models with Markov switching for software reliability
• A Bayesian Approach to DNA Sequence Segmentation
• Methods for measuring expectations and uncertainty in Markov-switching models

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