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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016.
"Price duration versus trading volume in high-frequency data for selected DAX companies,"
AGH University of Science and Technology, vol. 17(2), pages 241-260, December.
- Henryk Gurgul & Robert Syrek & Christoph Mitterer, 2016. "Price duration versus trading volume in high-frequency data for selected DAX companies," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 17(2), pages 241-260.
- 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.
- repec:spr:jagbes:v:22:y:2017:i:3:d:10.1007_s13253-017-0283-8 is not listed on IDEAS
More about this item
KeywordsHidden Markov models; Model selection; Cross-validation; Missing values at random; EM algorithm;
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