Bayesian analysis of multivariate Gaussian hidden Markov models with an unknown number of regimes

DOI10.1111/j.1467-9892.2009.00635.xzbMath1222.62110OpenAlexW1912633513MaRDI QIDQ3077671

Luigi Spezia

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00635.x

zbMATH Keywords

Bayesian analysisreversible jump Markov chain Monte Carlo

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes (60J99)

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Uses Software

• tsbridge

Cites Work

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• Inference in hidden Markov models.
• Marginal Likelihood from the Gibbs Output
• Hidden Markov Models for Speech Recognition
• Computational and Inferential Difficulties with Mixture Posterior Distributions
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Bayesian analysis of non-homogeneous hidden Markov models
• Bayesian Variable Selection in Clustering High-Dimensional Data

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