A time varying hidden Markov model with latent information

DOI10.1177/1471082X0800800402MaRDI QIDQ4970951zbMATH OpenFDO

Authors Edoardo Otranto

Publication date 8 October 2020

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082X0800800402

zbMATH Keywords

forecastslatent variablesMarkov switchingsignal extractionstate-space

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(3)

• Adding flexibility to Markov Switching models
• On using fuzzy clustering for detecting the number of states in Markov switching models
• Modelling time-inhomogeneous incomplete records of point processes using variants of hidden Markov models

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