Approximate forward-backward algorithm for a switching linear Gaussian model

DOI10.1016/j.csda.2010.06.008zbMath1247.62242OpenAlexW1984680919MaRDI QIDQ452551

Hugo Hammer, Håkon Tjelmeland

Publication date: 15 September 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.06.008

zbMATH Keywords

forwardhidden Markov modelapproximationMetropolis-Hastings algorithmseismic inversionbackward algorithm

Mathematics Subject Classification ID

Related Items (4)

Approximate posterior distributions for convolutional two-level hidden Markov models ⋮ Block-Diagonal Covariance Estimation and Application to the Shapley Effects in Sensitivity Analysis ⋮ Gaussian Linear Approximation for the Estimation of the Shapley Effects ⋮ Sensitivity indices for independent groups of variables

Uses Software

• hsmm

Cites Work

• hsmm -- an R package for analyzing hidden semi-Markov models
• Exploring the state sequence space for hidden Markov and semi-Markov chains
• Dynamic linear models with Markov-switching
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Bayesian lithology/fluid inversion -- comparison of two algorithms
• Inference in hidden Markov models.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Bayesian Methods for Hidden Markov Models
• Mixture Kalman Filters
• Monte Carlo Smoothing for Nonlinear Time Series
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