A comparison of some criteria for states selection in the latent Markov model for longitudinal data

DOI10.1007/S11634-013-0154-2zbMATH Open1459.62103arXiv1212.0352OpenAlexW2009021647MaRDI QIDQ2009042FDOQ2009042

Authors: Silvia Bacci, Silvia Pandolfi, Fulvia Pennoni 

Publication date: 27 November 2019

Published in: Advances in Data Analysis and Classification. ADAC (Search for Journal in Brave)

Abstract: We compare different selection criteria to choose the number of latent states of a multivariate latent Markov model for longitudinal data. This model is based on an underlying Markov chain to represent the evolution of a latent characteristic of a group of individuals over time. Then, the response variables observed at the different occasions are assumed to be conditionally independent given this chain. Maximum likelihood of the model is carried out through an Expectation-Maximization algorithm based on forward-backward recursions which are well known in the hidden Markov literature for time series. The selection criteria we consider in our comparison are based on penalized versions of the maximum log-likelihood or on the posterior probabilities of belonging to each latent state, that is the conditional probability of the latent state given the observed data. A Monte Carlo simulation study shows that the indices referred to the log-likelihood based information criteria perform in general better with respect to those referred to the classification based criteria. This is due to the fact that the latter tend to underestimate the true number of latent states, especially in the univariate case.

Full work available at URL: https://arxiv.org/abs/1212.0352

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zbMATH Keywords

entropymixture modelAkaike information criterionBayesian information criterionmultivariate latent Markov modelnormalized entropy criterion

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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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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• Hidden Markov Models for Low-Frequency Earthquake Recurrence
• Evaluation of long-term health care services through a latent Markov model with covariates
• Response mixture modeling: accounting for heterogeneity in item characteristics across response times
• A bivariate finite mixture growth model with selection
• Latent profile analysis with nonnormal mixtures: a Monte Carlo examination of model selection using fit indices
• Handling non-ignorable dropouts in longitudinal data: a conditional model based on a latent Markov heterogeneity structure
• Variable selection for hidden Markov models with continuous variables and missing data
• Model-based two-way clustering of second-level units in ordinal multilevel latent Markov models

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