Robust fitting of hidden Markov regression models under a longitudinal setting

DOI10.1080/00949655.2013.763943MaRDI QIDQ5219389zbMATH OpenOpenAlexFDO

Authors Antonello Maruotti

Publication date 11 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2013.763943

zbMATH Keywords

EM algorithmhidden Markov modelslongitudinal datarobust estimation

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• A journey in single steps: robust one-step M-estimation in linear regression
• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• A simulation study to compare robust clustering methods based on mixtures
• A survey of robust statistics
• A weighted least-squares approach to clusterwise regression
• EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective
• Finite mixture and Markov switching models.
• Hidden Markov Models for Time Series
• scientific article; zbMATH DE number 5555137 (Why is no real title available?)
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Identifiability of models for clusterwise linear regression
• Latent Markov models for longitudinal data
• Longitudinal Data Analysis
• Maximum likelihood estimation in discrete mixed hidden Markov models using the SAEM algorithm
• Mixed hidden Markov models for longitudinal data: an overview
• Robust clusterwise linear regression through trimming
• Robust Estimation in the Normal Mixture Model Based on Robust Clustering
• Robust fitting of mixture regression models
• Robust linear clustering
• Robust Statistics
• Semiparametric Stochastic Mixed Models for Longitudinal Data
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• The forward search: theory and data analysis
• Variable selection in robust regression models for longitudinal data

Cited in

(8)

• Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers
• Bayesian analysis for mixture of latent variable hidden Markov models with multivariate longitudinal data
• Multivariate hidden Markov regression models: random covariates and heavy-tailed distributions
• Robust inferences on the hidden Markov latent variable models based on the multivariate \(t\)-distribution
• On robust estimation of hidden semi-Markov regime-switching models
• Matrix-variate hidden Markov regression models: fixed and random covariates
• A constrained robust Markov regime-switching model for long-term risk evaluation
• S-estimation of hidden Markov models

Describes a project that uses

Uses Software

• robustbase

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