Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes
DOI10.1111/J.1467-9892.2009.00635.XzbMATH Open1222.62110OpenAlexW1912633513MaRDI QIDQ3077671FDOQ3077671
Authors: L. Spezia 
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00635.x
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Cites Work
- Computational and Inferential Difficulties with Mixture Posterior Distributions
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- Bayesian Variable Selection in Clustering High-Dimensional Data
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- Hidden Markov Models for Speech Recognition
- Bayesian analysis of non-homogeneous hidden Markov models
Cited In (15)
- Bayesian hidden Markov modelling using circular‐linear general projected normal distribution
- Bayesian inference for continuous-time hidden Markov models with an unknown number of states
- Bayesian analysis of latent Markov models with non-ignorable missing data
- Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
- Analysis of a multivariate Gaussian mixture model based on the DRJMCMC method
- About the posterior distribution in hidden Markov models with unknown number of states
- A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models
- Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models
- A generalized mixture model applied to diabetes incidence data
- Flexible latent-state modelling of Old Faithful's eruption inter-arrival times in 2009
- Hierarchical Bayesian Approach to a Multi-Site Hidden Markov Model
- Quantile hidden semi-Markov models for multivariate time series
- Reversible jump Markov chain Monte Carlo methods and segmentation algorithms in hidden Markov models
- Multiple hidden Markov models for categorical time series
- Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution
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