Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes

DOI10.1111/J.1467-9892.2009.00635.XMaRDI QIDQ3077671zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian analysisreversible jump Markov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Markov processes (60J99)

Recommendations

• Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
• Bayesian analysis of non-homogeneous hidden Markov models
• Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
• Multiple hidden Markov models for categorical time series
• Reversible jump Markov chain Monte Carlo methods and segmentation algorithms in hidden Markov models

Cites work

• scientific article; zbMATH DE number 947416 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Bayesian Variable Selection in Clustering High-Dimensional Data
• Bayesian analysis of non-homogeneous hidden Markov models
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Hidden Markov Models for Speech Recognition
• Inference in hidden Markov models.
• Marginal Likelihood from the Gibbs Output
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models

Cited in

(15)

• Bayesian inference for continuous-time hidden Markov models with an unknown number of states
• Bayesian hidden Markov modelling using circular‐linear general projected normal distribution
• 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

Describes a project that uses

Uses Software

• tsbridge

This page was built for publication: Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3077671)