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Computational issues in parameter estimation for stationary hidden Markov models

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  • Jan Bulla
  • Andreas Berzel

Abstract

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Suggested Citation

  • Jan Bulla & Andreas Berzel, 2008. "Computational issues in parameter estimation for stationary hidden Markov models," Computational Statistics, Springer, vol. 23(1), pages 1-18, January.
    • Handle: RePEc:spr:compst:v:23:y:2008:i:1:p:1-18
    DOI: 10.1007/s00180-007-0063-y
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    Citations

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    Cited by:

    1. Jan Bulla, 2010. "Hidden Markov models with t components. Increased persistence and other aspects," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 459-475.
    2. Mark, Tanya & Lemon, Katherine N. & Vandenbosch, Mark & Bulla, Jan & Maruotti, Antonello, 2013. "Capturing the Evolution of Customer–Firm Relationships: How Customers Become More (or Less) Valuable Over Time," Journal of Retailing, Elsevier, vol. 89(3), pages 231-245.
    3. De Angelis Luca & Viroli Cinzia, 2017. "A Markov-switching regression model with non-Gaussian innovations: estimation and testing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-22, April.
    4. Wang, Ting & Bebbington, Mark, 2013. "Identifying anomalous signals in GPS data using HMMs: An increased likelihood of earthquakes?," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 27-44.
    5. Iain L. MacDonald, 2014. "Numerical Maximisation of Likelihood: A Neglected Alternative to EM?," International Statistical Review, International Statistical Institute, vol. 82(2), pages 296-308, August.
    6. 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;German Statistical Society, vol. 97(3), pages 239-270, July.
    7. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
    8. Maruotti, Antonello & Punzo, Antonio, 2017. "Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 475-496.
    9. Catania, Leopoldo & Di Mari, Roberto, 2021. "Hierarchical Markov-switching models for multivariate integer-valued time-series," Journal of Econometrics, Elsevier, vol. 221(1), pages 118-137.
    10. Jan Bulla & Sascha Mergner & Ingo Bulla & André Sesboüé & Christophe Chesneau, 2011. "Markov-switching asset allocation: Do profitable strategies exist?," Journal of Asset Management, Palgrave Macmillan, vol. 12(5), pages 310-321, November.
    11. Antonello Maruotti & Antonio Punzo, 2021. "Initialization of Hidden Markov and Semi‐Markov Models: A Critical Evaluation of Several Strategies," International Statistical Review, International Statistical Institute, vol. 89(3), pages 447-480, December.
    12. Roland Langrock & Thomas Kneib & Alexander Sohn & Stacy L. DeRuiter, 2015. "Nonparametric inference in hidden Markov models using P-splines," Biometrics, The International Biometric Society, vol. 71(2), pages 520-528, June.
    13. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
    14. Diana J. Cole, 2019. "Parameter redundancy and identifiability in hidden Markov models," METRON, Springer;Sapienza Università di Roma, vol. 77(2), pages 105-118, August.
    15. Roland Langrock & Timo Adam & Vianey Leos‐Barajas & Sina Mews & David L. Miller & Yannis P. Papastamatiou, 2018. "Spline‐based nonparametric inference in general state‐switching models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 179-200, August.
    16. Maruotti, Antonello & Petrella, Lea & Sposito, Luca, 2021. "Hidden semi-Markov-switching quantile regression for time series," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
    17. Antonello Maruotti, 2015. "Handling non-ignorable dropouts in longitudinal data: a conditional model based on a latent Markov heterogeneity structure," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(1), pages 84-109, March.
    18. Bulla, Jan & Bulla, Ingo & Nenadic, Oleg, 2010. "hsmm -- An R package for analyzing hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 611-619, March.
    19. Mark, Tanya & Bulla, Jan & Niraj, Rakesh & Bulla, Ingo & Schwarzwäller, Wolfgang, 2019. "Catalogue as a tool for reinforcing habits: Empirical evidence from a multichannel retailer," International Journal of Research in Marketing, Elsevier, vol. 36(4), pages 528-541.

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