Exact Bayesian prediction in a class of Markov-switching models

DOI10.1007/S11009-010-9189-4MaRDI QIDQ430855zbMATH OpenOpenAlexFDO

Authors Noémie Bardel, François Desbouvries

Publication date 26 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-010-9189-4

zbMATH Keywords

NP-hard problemsBayesian restorationjump-Markov state-space systemspartially pairwise Markov switching models

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20) Complexity and performance of numerical algorithms (65Y20) Filtering in stochastic control theory (93E11)

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Cites work

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• Image Processing and Data Analysis
• Kalman filtering in pairwise Markov trees
• Multiscale recursive estimation, data fusion, and regularization
• Pairwise Markov trees
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• Unsupervised segmentation of triplet Markov chains hidden with long-memory noise

Cited in

(2)

• Fully Bayesian analysis of switching Gaussian state space models
• Markov-switching model selection using Kullback-Leibler divergence

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