Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method

DOI10.1016/J.CSDA.2019.106840OpenAlexW2975139222WikidataQ127197887 ScholiaQ127197887MaRDI QIDQ2008134FDOQ2008134

Authors: L. Spezia 

Publication date: 22 November 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2019.106840

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zbMATH Keywords

path samplingtime-varying transition probabilitiesozone dynamicspopulation MCMCstate-dependent multivariate normal observed processtrigonometric separation strategy

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (8)

• Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes
• Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
• Forecasting with non-homogeneous hidden Markov models
• Functional concurrent hidden Markov model
• Bayesian Variable Selection in Markov Mixture Models
• An evolutionary Monte Carlo method for the analysis of turbidity high-frequency time series through Markov switching autoregressive models
• Selecting dynamic graphical models with hidden variables from data
• Forecasting with non-homogeneous hidden Markov models

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