An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models

DOI10.1080/03610920802040415zbMath1147.62368OpenAlexW2093697016MaRDI QIDQ3532764

Christian Lavergne, Mohamed Saidane

Publication date: 28 October 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802040415

zbMATH Keywords

HMMEM algorithmmodel selectionlatent factor modelsconditional heteroscedasticity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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