Multiple hidden Markov models for categorical time series

DOI10.1016/J.JMVA.2015.04.002zbMATH Open1359.62343arXiv1309.3895OpenAlexW1970043876MaRDI QIDQ495338FDOQ495338

S. Giordano, R. Colombi

Publication date: 10 September 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We introduce multiple hidden Markov models (MHMMs) where an observed multivariate categorical time series depends on an unobservable multivariate Mar- kov chain. MHMMs provide an elegant framework for specifying various independence relationships between multiple discrete time processes. These independencies are interpreted as Markov properties of a mixed graph and a chain graph associated to the latent and observable components of the MHMM, respectively. These Markov properties are also translated into zero restrictions on the parameters of marginal models for the transition probabilities and the distributions of the observable variables given the latent states.

Full work available at URL: https://arxiv.org/abs/1309.3895

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zbMATH Keywords

graphical modelsconditional independencemultivariate Markov chainsGranger noncausalitymarginal modelsMarkov properties

Mathematics Subject Classification ID

Multivariate analysis (62H99) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cited In (1)

• Hidden Markov models for longitudinal rating data with dynamic response styles

Uses Software

• R
• dlm
• hmmm

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