Hidden Markov models for time series. An introduction using R
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Publication:5890752
DOI10.1201/B20790zbMATH Open1362.62005OpenAlexW4256357823MaRDI QIDQ5890752FDOQ5890752
Iain L. MacDonald, Roland Langrock, Walter Zucchini
Publication date: 16 June 2016
Published in: Monographs on Statistics and Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1201/b20790
model selectionpredictionBayesian inferenceEM algorithmtime serieshidden Markov modelsdecodingsoftware R
Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Software, source code, etc. for problems pertaining to statistics (62-04) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)
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- Dealing with reciprocity in dynamic stochastic block models
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- Modelling the reproductive power function
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- Fitting a reversible Markov chain by maximum likelihood: converting an awkwardly constrained optimization problem to an unconstrained one
- Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
- Multistate capture-recapture models for irregularly sampled data
- Estimating abundance from multiple sampling capture-recapture data via a multi-state multi-period stopover model
- Incorporating Animal Movement Into Distance Sampling
- Hidden Markov and semi-Markov models when and why are these models useful for classifying states in time series data?
- Assessing the influence of marketing activities on customer behaviors: a dynamic clustering approach
- Guest editor's introduction to the special issue on ``Hidden Markov models: theory and applications
- Hidden three-state survival model for bivariate longitudinal count data
- A data-driven, variable-speed model for the train timetable rescheduling problem
- On estimation for Brownian motion governed by telegraph process with multiple off states
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- Operator inference of non-Markovian terms for learning reduced models from partially observed state trajectories
- Initialization of Hidden Markov and Semi‐Markov Models: A Critical Evaluation of Several Strategies
- Football tracking data: a copula-based hidden Markov model for classification of tactics in football
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- A Bayesian Markov model with Pólya-gamma sampling for estimating individual behavior transition probabilities from accelerometer classifications
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- Mixture of multivariate \(t\) nonlinear mixed models for multiple longitudinal data with heterogeneity and missing values
- Multi-scale modeling of animal movement and general behavior data using hidden Markov models with hierarchical structures
- Regime switching models for circular and linear time series
- Incorporating telemetry error into hidden Markov models of animal movement using multiple imputation
- A two-step estimator for generalized linear models for longitudinal data with time-varying measurement error
- Hidden semi-Markov-switching quantile regression for time series
- Stochastic DDM with regime-switching process
- Stationary count time series models
- A hidden Markov model for continuous longitudinal data with missing responses and dropout
- Hidden Markov model with missing emissions
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- Continuous-time state-space modelling of the hot hand in basketball
- A new algorithm for inference in HMM's with lower span complexity
- Segmentation of mortality surfaces by hidden Markov models
- Models for count data
- A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models
- On robust estimation of hidden semi-Markov regime-switching models
- Markov-switching decision trees
- Computational efficiency and precision for replicated-count and batch-marked hidden population models
- Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
- Tempered expectation-maximization algorithm for the estimation of discrete latent variable models
- Computational issues in parameter estimation for hidden Markov models with template model builder
- A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
- Bayesian sparse vector autoregressive switching models with application to human gesture phase segmentation
- Model-based clustering for noisy longitudinal circular data, with application to animal movement
- Generalized linear mixed hidden models in longitudinal settings: a Bayesian approach
- A latent capture history model for digital aerial surveys
- Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models
- A joint Poisson state-space modelling approach to analysis of binomial series with random cluster sizes
- Parameter estimation methods of required rate of return on stock
- Bayesian Spline-Based Hidden Markov Models with Applications to Actimetry Data and Sleep Analysis
- Matrix-variate hidden Markov regression models: fixed and random covariates
- Variable selection for hidden Markov models with continuous variables and missing data
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- Maximum likelihood estimation for discrete latent variable models via evolutionary algorithms
- A copula-based multivariate hidden Markov model for modelling momentum in football
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- Rainbow options with MS-VAR process
- Blood and breath alcohol concentration from transdermal alcohol biosensor data: estimation and uncertainty quantification via forward and inverse filtering for a covariate-dependent, physics-informed, hidden Markov model*
- Bayesian approximations to hidden semi-Markov models for telemetric monitoring of physical activity
- On multinomial hidden Markov model for hierarchical manpower systems
Uses Software
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