A simple hidden markov model for bayesian modeling with time dependent data

DOI10.1080/03610920008832579zbMath1026.62022OpenAlexW2006530720MaRDI QIDQ4541747

Glen Meeden, Stephen B. Vardeman

Publication date: 28 July 2002

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

Full work available at URL: https://doi.org/10.1080/03610920008832579

zbMATH Keywords

predictiontime seriesmultiprocess dynamic model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• Unnamed Item
• Bayesian forecasting and dynamic models.
• Bayesian estimation of hidden Markov chains: A stochastic implementation
• Some issues in the foundation of statistics. (With comments by J. Berger, E. L. Lehmann, P. W. Holland, C. C. Clogg, N. W. Henry and the author's rejoinder)
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• Markov chain Monte Carlo in conditionally Gaussian state space models
• A Bayesian Approach to Short-term Forecasting

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