Semiparametric hidden Markov model with non-parametric regression

DOI10.1080/03610926.2017.1388398OpenAlexW2761371580MaRDI QIDQ5075553

Qinghua Ji, Weixin Yao, Mian Huang

Publication date: 16 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1388398

zbMATH Keywords

EM algorithmkernel regressionforward-backward algorithmhidden Markov model regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Estimation and testing of nonparametric hidden Markov model with application in stock market ⋮ Statistical inference for the nonparametric and semiparametric hidden Markov model via the composite likelihood approach

Uses Software

• PennCNV

Cites Work

• Generalized likelihood ratio statistics and Wilks phenomenon
• Inference in hidden Markov models.
• Nonparametric Mixture of Regression Models
• Optimal Filter Approximations in Conditionally Gaussian Pairwise Markov Switching Models
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