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Filtering hidden semi-Markov chains

Author

Listed:
  • Elliott, Robert
  • Limnios, Nikolaos
  • Swishchuk, Anatoliy

Abstract

In this paper, we consider hidden semi-Markov chain filters having possible applications in areas such as genomics, statistical studies of earthquakes, reliability, etc.

Suggested Citation

  • Elliott, Robert & Limnios, Nikolaos & Swishchuk, Anatoliy, 2013. "Filtering hidden semi-Markov chains," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2007-2014.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:9:p:2007-2014
    DOI: 10.1016/j.spl.2013.05.007
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    References listed on IDEAS

    as
    1. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
    2. Renata Rotondi & Elisa Varini, 2003. "Bayesian analysis of a marked point process: Application in seismic hazard assessment," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 12(1), pages 79-92, February.
    3. Bulla, Jan, 2006. "Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series," MPRA Paper 7675, University Library of Munich, Germany.
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