Calculating posterior distributions and modal estimates in Markov mixture models

DOI10.1016/0304-4076(95)01770-4zbMATH Open0864.62010OpenAlexW2054038204MaRDI QIDQ1126462FDOQ1126462

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

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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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• A Bayesian Change-Point Analysis for Software Reliability Models
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• Confronting model misspecification in macroeconomics
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• Bayesian Variable Selection in Markov Mixture Models
• Properties of optimal forecasts under asymmetric loss and nonlinearity
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• Scalable Bayesian Inference for Coupled Hidden Markov and Semi-Markov Models
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• A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models
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• Bayesian analysis of dynamic linear topic models
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• A generalized mixture model applied to diabetes incidence data
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