Selecting hidden Markov model state number with cross-validated likelihood
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References listed on IDEAS
- 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.
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- 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.
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- repec:exl:2manag:v:17:y:2016:i:2:p:241-260 is not listed on IDEAS
- 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;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 8(2), pages 125-145, June.
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- 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, March.
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KeywordsHidden Markov models; Model selection; Cross-validation; Missing values at random; EM algorithm;
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