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Bayesian Methods for Hidden Markov Models: Recursive Computing in the 21st Century

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  • Scott S. L.

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  • Scott S. L., 2002. "Bayesian Methods for Hidden Markov Models: Recursive Computing in the 21st Century," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 337-351, March.
  • Handle: RePEc:bes:jnlasa:v:97:y:2002:m:march:p:337-351
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    Cited by:

    1. Guedon, Yann, 2007. "Exploring the state sequence space for hidden Markov and semi-Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2379-2409, February.
    2. Ravishanker, Nalini & Liu, Zhaohui & Ray, Bonnie K., 2008. "NHPP models with Markov switching for software reliability," Computational Statistics & Data Analysis, Elsevier, vol. 52(8), pages 3988-3999, April.
    3. Scott, Steven L., 2004. "A Bayesian paradigm for designing intrusion detection systems," Computational Statistics & Data Analysis, Elsevier, vol. 45(1), pages 69-83, February.
    4. Netzer, Oded & Lattin, James M. & Srinivasan, V. Seenu, 2007. "A Hidden Markov Model of Customer Relationship Dynamics," Research Papers 1904r, Stanford University, Graduate School of Business.
    5. Peter Ebbes & Rajdeep Grewal & Wayne DeSarbo, 2010. "Modeling strategic group dynamics: A hidden Markov approach," Quantitative Marketing and Economics (QME), Springer, vol. 8(2), pages 241-274, June.
    6. Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
    7. Murakami, Junko, 2009. "Bayesian posterior mean estimates for Poisson hidden Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 941-955, February.
    8. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
    9. McCausland, William J., 2007. "Time reversibility of stationary regular finite-state Markov chains," Journal of Econometrics, Elsevier, vol. 136(1), pages 303-318, January.
    10. Kobayashi, Kiyoshi & Kaito, Kiyoyuki & Lethanh, Nam, 2012. "A statistical deterioration forecasting method using hidden Markov model for infrastructure management," Transportation Research Part B: Methodological, Elsevier, vol. 46(4), pages 544-561.
    11. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
    12. Chang-Jin Kim & Jaeho Kim, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," Discussion Paper Series 1306, Institute of Economic Research, Korea University.
    13. Congdon, Peter, 2006. "Bayesian model choice based on Monte Carlo estimates of posterior model probabilities," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 346-357, January.
    14. Penelope A. Smith & Peter M. Summers, 2004. "Identification and normalization in Markov switching models of "business cycles"," Research Working Paper RWP 04-09, Federal Reserve Bank of Kansas City.
    15. Hammer, Hugo & Tjelmeland, Håkon, 2011. "Approximate forward-backward algorithm for a switching linear Gaussian model," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 154-167, January.

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