Exact Bayesian prediction in a class of Markov-switching models

DOI10.1007/S11009-010-9189-4zbMATH Open1241.62128OpenAlexW2076020996MaRDI QIDQ430855FDOQ430855

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

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• scientific article; zbMATH DE number 218980

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)

Cites Work

• Detection and estimation for abruptly changing systems
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• Title not available (Why is that?)
• Multiscale recursive estimation, data fusion, and regularization
• Unsupervised segmentation of triplet Markov chains hidden with long-memory noise
• Efficient particle filtering for jump markov systems. Application to time-varying autoregressions
• Image Processing and Data Analysis
• Kalman filtering in pairwise Markov trees
• Pairwise Markov trees
• Dempster-Shafer fusion in triplet partially Markov chains.
• Discrete Markov image modeling and inference on the quadtree
• An inequality with applications to statistical estimation for probabilistic functions of Markov processes and to a model for ecology

Cited In (2)

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

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