Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models

DOI10.1007/S11749-018-0580-8MaRDI QIDQ2273159zbMATH OpenOpenAlexWikidataFDO

Authors L. Spezia

Publication date 18 September 2019

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-018-0580-8

zbMATH Keywords

multivariate normal distributionimage segmentationCholesky decompositionPeano-Hilbert curveinduced priorsmulti-colour satellite images

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics in engineering and industry; control charts (62P30) Image analysis in multivariate analysis (62H35)

Recommendations

• Bayesian inference for a covariance matrix
• scientific article; zbMATH DE number 1556163
• scientific article; zbMATH DE number 218980
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors

Cites work

• scientific article; zbMATH DE number 1085980 (Why is no real title available?)
• scientific article; zbMATH DE number 1556163 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A hierarchical eigenmodel for pooled covariance estimation
• An efficient Markov chain Monte Carlo method for distributions with intractable normalising constants
• Bayesian analysis of covariance matrices and dynamic models for longitudinal data
• Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes
• Bayesian correlation estimation
• Bayesian inference for a covariance matrix
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Dynamic linear models with Markov-switching
• Estimation of a covariance matrix using the reference prior
• Estimation of parameters in hidden Markov models
• Hidden Dangers of Specifying Noninformative Priors
• Hidden Markov Models and Disease Mapping
• Hidden Markov Models for Longitudinal Comparisons
• Hidden Markov models for time series. An introduction using R
• Inference in hidden Markov models.
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Modeling covariance matrices via partial autocorrelations
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• Parsimonious Covariance Matrix Estimation for Longitudinal Data
• Reversible Jump, Birth-and-Death and More General Continuous Time Markov Chain Monte Carlo Samplers
• Reversible jump Markov chain Monte Carlo methods and segmentation algorithms in hidden Markov models
• Scalable inference for a full multivariate stochastic volatility model
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Spatial hidden Markov models and species distributions

Cited in

(2)

• Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
• Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method

Describes a project that uses

Uses Software

• R

This page was built for publication: Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2273159)