Bayesian inference for continuous-time hidden Markov models with an unknown number of states
From MaRDI portal
Publication:2058798
Abstract: We consider the modeling of data generated by a latent continuous-time Markov jump process with a state space of finite but unknown dimensions. Typically in such models, the number of states has to be pre-specified, and Bayesian inference for a fixed number of states has not been studied until recently. In addition, although approaches to address the problem for discrete-time models have been developed, no method has been successfully implemented for the continuous-time case. We focus on reversible jump Markov chain Monte Carlo which allows the trans-dimensional move among different numbers of states in order to perform Bayesian inference for the unknown number of states. Specifically, we propose an efficient split-combine move which can facilitate the exploration of the parameter space, and demonstrate that it can be implemented effectively at scale. Subsequently, we extend this algorithm to the context of model-based clustering, allowing numbers of states and clusters both determined during the analysis. The model formulation, inference methodology, and associated algorithm are illustrated by simulation studies. Finally, We apply this method to real data from a Canadian healthcare system in Quebec.
Recommendations
- Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
- Continuous time hidden Markov model for longitudinal data
- Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes
- About the posterior distribution in hidden Markov models with unknown number of states
- Approximate Bayesian inference for discretely observed continuous‐time multi‐state models
Cites work
- A Bayesian Approach to Multistate Hidden Markov Models: Application to Dementia Progression
- A hidden absorbing semi-Markov model for informatively censored temporal data: learning and inference
- A joint model for multistate disease processes and random informative observation times, with applications to electronic medical records data
- Approximate Bayesian inference for discretely observed continuous‐time multi‐state models
- Bayesian analysis of mixture models with an unknown number of components\,--\,an alternative to reversible jump methods.
- Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
- Bayesian latent multi‐state modeling for nonequidistant longitudinal electronic health records
- Detecting Features in Spatial Point Processes with Clutter via Model-Based Clustering
- Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
- Estimating and comparing cancer progression risks under varying surveillance protocols
- How Many Clusters? Which Clustering Method? Answers Via Model-Based Cluster Analysis
- scientific article; zbMATH DE number 1085980 (Why is no real title available?)
- scientific article; zbMATH DE number 795289 (Why is no real title available?)
- Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
- Mixture models with a prior on the number of components
- Model-based clustering based on sparse finite Gaussian mixtures
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Reversible Jump, Birth-and-Death and More General Continuous Time Markov Chain Monte Carlo Samplers
- Selecting hidden Markov model state number with cross-validated likelihood
- Selecting the number of states in hidden Markov models: pragmatic solutions illustrated using animal movement
- Simulation from endpoint-conditioned, continuous-time Markov chains on a finite state space, with applications to molecular evolution
- Statistical analysis of counting processes
- Statistical Inference for Discretely Observed Markov Jump Processes
Cited in
(10)- Bayesian estimation of hidden Markov chains: A stochastic implementation
- A quasi-Bayesian perspective to online clustering
- Learning hidden Markov models with unknown number of states
- Flexible estimation of the state dwell-time distribution in hidden semi-Markov models
- Sequential Bayesian inference for implicit hidden Markov models and current limitations
- Approximate Bayesian inference for discretely observed continuous‐time multi‐state models
- Bayesian clustering for continuous‐time hidden Markov models
- Order selection for heterogeneous semiparametric hidden Markov models
- Bayesian inference for the Markov-modulated Poisson process with an outcome process
- Dirichlet process multi-state mixture models
This page was built for publication: Bayesian inference for continuous-time hidden Markov models with an unknown number of states
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2058798)
