A note on the mixture transition distribution and hidden Markov models
AbstractWe discuss an interpretation of the mixture transition distribution (MTD) for discrete-valued time series which is based on a sequence of independent latent variables which are occasion-specific. We show that, by assuming that this latent process follows a first order Markov Chain, MTD can be generalized in a sensible way. A class of models results which also includes the hidden Markov model (HMM). For these models we outline an EM algorithm for the maximum likelihood estimation which exploits recursions developed within the HMM literature. As an illustration, we provide an example based on the analysis of stock market data referred to different American countries. Copyright Copyright 2010 Blackwell Publishing Ltd
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 31 (2010)
Issue (Month): 2 (03)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
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- Francesco Bartolucci, 2002. "A recursive algorithm for Markov random fields," Biometrika, Biometrika Trust, vol. 89(3), pages 724-730, August.
- Gilles Celeux & Jean-Baptiste Durand, 2008. "Selecting hidden Markov model state number with cross-validated likelihood," Computational Statistics, Springer, vol. 23(4), pages 541-564, October.
- Francesco Bartolucci, 2006. "Likelihood inference for a class of latent Markov models under linear hypotheses on the transition probabilities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(2), pages 155-178.
- Bartolucci, Francesco & Farcomeni, Alessio, 2009. "A Multivariate Extension of the Dynamic Logit Model for Longitudinal Data Based on a Latent Markov Heterogeneity Structure," Journal of the American Statistical Association, American Statistical Association, vol. 104(486), pages 816-831.
- Farcomeni, Alessio, 2011. "Hidden Markov partition models," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1766-1770.
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