Learning hidden Markov models with unknown number of states

DOI10.1016/J.PHYSA.2022.127047MaRDI QIDQ2116568zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 17 March 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2022.127047

zbMATH Keywords

hidden Markov modelfirst hitting timespectral clustering algorithm

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A Regime-Switching Model of Long-Term Stock Returns
• Asymptotic operating characteristics of an optimal change point detection in hidden Markov models
• Bayesian Non-Parametric Hidden Markov Models with Applications in Genomics
• Hierarchical Dirichlet Processes
• Linear optimal prediction and innovations representations of hidden Markov models.
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• The likelihood ratio test for the number of components in a mixture with Markov regime
• The order estimation for hidden Markov models
• Variational inference for Dirichlet process mixtures

Cited in

(5)

• A Low-Memory Approach for Best-State Estimation of Hidden Markov Models with Model Error
• Temporal BYY learning for state space approach, hidden Markov model, and blind source separation
• A New Method for Learning Imprecise Hidden Markov Models
• A sequential pruning strategy for the selection of the number of states in hidden Markov models
• Selecting the number of states in hidden Markov models: pragmatic solutions illustrated using animal movement

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