Selecting hidden Markov model state number with cross-validated likelihood
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Bibliographic InfoArticle provided by Springer in its journal Computational Statistics.
Volume (Year): 23 (2008)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/link.asp?id=120306
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- Robert, Christian P. & Celeux, Gilles & Diebolt, Jean, 1993. "Bayesian estimation of hidden Markov chains: a stochastic implementation," Statistics & Probability Letters, Elsevier, vol. 16(1), pages 77-83, January.
- S. Bacci & S. Pandolfi & F. Pennoni, 2014. "A comparison of some criteria for states selection in the latent Markov model for longitudinal data," Advances in Data Analysis and Classification, Springer, vol. 8(2), pages 125-145, June.
- Francesco Bartolucci & Alessio Farcomeni, 2010. "A note on the mixture transition distribution and hidden Markov models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 132-138, 03.
- Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Janczura, Joanna & Weron, Rafal, 2010.
"Goodness-of-fit testing for regime-switching models,"
22871, University Library of Munich, Germany.
- Janczura, Joanna & Weron, Rafal, 2011. "Goodness-of-fit testing for the marginal distribution of regime-switching models," MPRA Paper 32532, University Library of Munich, Germany.
- Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, vol. 97(3), pages 239-270, July.
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