EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective

DOI10.1214/08-BA326zbMath1330.65023MaRDI QIDQ2634538

Tobias Rydén

Publication date: 16 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1340370402

zbMATH Keywords

hidden Markov modelMarkov chain Monte Carloincomplete datamissing dataEMcomputational statisticstrans-dimensional Monte Carlo

Mathematics Subject Classification ID

Related Items (16)

Mixed Hidden Markov Models for Longitudinal Data: An Overview ⋮ Hidden semi-Markov-switching quantile regression for time series ⋮ An expectation-maximization algorithm for blind separation of noisy mixtures using Gaussian mixture model ⋮ Bayesian hierarchical mixture models for detecting non‐normal clusters applied to noisy genomic and environmental datasets ⋮ Bayesian hidden Markov modelling using circular‐linear general projected normal distribution ⋮ Divide-and-conquer Bayesian inference in hidden Markov models ⋮ Non-parametric Bayesian inference for continuous density hidden Markov mixture model ⋮ A continuous-index hidden Markov jump process for modeling DNA copy number data ⋮ Estimation of Viterbi path in Bayesian hidden Markov models ⋮ Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework ⋮ Recursions for the MMPP Score Vector and Observed Information Matrix ⋮ Forecasting with non-homogeneous hidden Markov models ⋮ Robust fitting of hidden Markov regression models under a longitudinal setting ⋮ A primer on coupled state-switching models for multiple interacting time series ⋮ Unnamed Item ⋮ Forecasting with non-homogeneous hidden Markov models

This page was built for publication: EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective