Forecasting with non-homogeneous hidden Markov models

DOI10.1007/s11222-010-9180-5zbMath1258.65010OpenAlexW1971094148MaRDI QIDQ5970616

Petros Dellaportas, Loukia Meligkotsidou

Publication date: 16 January 2013

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

Full work available at URL: https://doi.org/10.1007/s11222-010-9180-5

zbMATH Keywords

predictionnumerical examplesMarkov chain Monte CarloBayesian forecastingreversible jumpmultinomial regressionexogenous variables

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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