Variational Bayesian analysis for hidden Markov models

DOI10.1111/J.1467-842X.2009.00543.XMaRDI QIDQ2810373zbMATH OpenOpenAlexFDO

Authors C. A. McGrory, D. M. Titterington

Publication date 1 June 2016

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-842x.2009.00543.x

zbMATH Keywords

Bayesian analysisdeviance information criterion (DIC)hidden Markov modelvariational approximation

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• An introduction to variational methods for graphical models
• Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
• Bayesian Measures of Model Complexity and Fit
• Calculating posterior distributions and modal estimates in Markov mixture models
• Convergence properties of a general algorithm for calculating variational Bayesian estimates for a normal mixture model
• Hidden Markov Models and Disease Mapping
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Variational approximations in Bayesian model selection for finite mixture distributions
• Variational message passing

Cited in

(21)

• Variational approximations in Bayesian model selection for finite mixture distributions
• Mixture estimation with state-space components and Markov model of switching
• A variational approximations-DIC rubric for parameter estimation and mixture model selection within a family setting
• Estimation of Viterbi path in Bayesian hidden Markov models
• Recursive estimation of multivariate hidden Markov model parameters
• A tutorial on variational Bayes for latent linear stochastic time-series models
• On equivalent parameter learning in simplified feature space based on Bayesian asymptotic analysis
• About the posterior distribution in hidden Markov models with unknown number of states
• scientific article; zbMATH DE number 1928690 (Why is no real title available?)
• Accuracy of variational estimates for random graph mixture models
• MAP segmentation in Bayesian hidden Markov models: a case study
• Uncovering spatial topology represented by rat hippocampal population neuronal codes
• Climate regime shift detection with a trans‐dimensional, sequential Monte Carlo, variational Bayes method
• Neural Representation of Spatial Topology in the Rodent Hippocampus
• scientific article; zbMATH DE number 6276249 (Why is no real title available?)
• Bayesian analysis of non-homogeneous hidden Markov models
• Variational Bayesian learning of directed graphical models with hidden variables
• Optimal stock portfolio selection with a multivariate hidden Markov model
• A variational Bayesian methodology for hidden Markov models utilizing Student's-\(t\) mixtures
• Variational Bayes approach for model aggregation in unsupervised classification with Markovian dependency
• A new variational Bayesian algorithm with application to human mobility pattern modeling

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