Hidden Markov models with state-dependent mixtures: minimal representation, model testing and applications to clustering

DOI10.1007/S11222-014-9481-1MaRDI QIDQ5963819zbMATH OpenOpenAlexFDO

Authors Hajo Holzmann, Florian Schwaiger

Publication date 23 February 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-014-9481-1

zbMATH Keywords

clusteringhidden Markov modelslikelihood-ratio testfinancial log-returnsmerging states

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 3145626 (Why is no real title available?)
• Hidden Markov Models for Time Series
• Hidden Markov models with mixtures as emission distributions
• Hidden Markov models with state-dependent mixtures: minimal representation, model testing and applications to clustering
• Inference in hidden Markov models.
• Likelihood‐Ratio Tests for Hidden Markov Models
• Lumpable hidden Markov models -- model reduction and reduced complexity filtering
• Maximum-likelihood estimation for hidden Markov models
• Methods for merging Gaussian mixture components
• The topography of multivariate normal mixtures

Cited in

(9)

• Testing for two states in a hidden Markov model
• Testing for the number of states in hidden Markov models
• Hidden Markov models with mixtures as emission distributions
• A hierarchical framework for state-space matrix inference and clustering
• scientific article; zbMATH DE number 3860201 (Why is no real title available?)
• Scalable Inference for Hybrid Bayesian Hidden Markov Model Using Gaussian Process Emission
• Nonparametric inference in hidden Markov models using P‐splines
• Spline‐based nonparametric inference in general state‐switching models
• Hidden Markov models with state-dependent mixtures: minimal representation, model testing and applications to clustering

Describes a project that uses

Uses Software

• HMMmix

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