Bayesian nonhomogeneous Markov models via Pólya-Gamma data augmentation with applications to rainfall modeling

DOI10.1214/16-AOAS1009zbMath1366.62255arXiv1701.02856MaRDI QIDQ2628551

Andrew W. Robertson, Arthur M. Greene, Tracy Holsclaw, Padhraic Smyth

Publication date: 2 June 2017

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02856

zbMATH Keywords

multivariate time seriesnonhomogenous hidden Markov modelPólya-Gamma latent variablesprobit and logit link

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Generalized linear models (logistic models) (62J12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

Variational Bayesian analysis of nonhomogeneous hidden Markov models with long and ultralong sequences ⋮ Bayesian non-homogeneous hidden Markov model with variable selection for investigating drivers of seizure risk cycling ⋮ Bayesian Markov-Switching Tensor Regression for Time-Varying Networks ⋮ A Bayesian Markov model with Pólya-gamma sampling for estimating individual behavior transition probabilities from accelerometer classifications ⋮ Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method ⋮ Bayesian comparative study on binary time series ⋮ Climate inference on daily rainfall across the Australian continent, 1876--2015

Uses Software

• R
• MNP
• NHMM

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