Hidden Markov Models for Time Series 2017
DOI: 10.1201/b20790-8
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Cited by 54 publications
(128 citation statements)
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“…Hidden Markov models are used to estimate transition probabilities between categorical variables for time series. Observed values are used to estimate the underlying and unobserved Markov process, also known as a Markov chain, which rests on the assumption that the probability of a current state is dependent on the previous state (Zucchini et al, 2016 ; Muthén and Muthén, 2017 ).…”
Section: Methodsmentioning
confidence: 99%
“…Hidden Markov models are used to estimate transition probabilities between categorical variables for time series. Observed values are used to estimate the underlying and unobserved Markov process, also known as a Markov chain, which rests on the assumption that the probability of a current state is dependent on the previous state (Zucchini et al, 2016 ; Muthén and Muthén, 2017 ).…”
Section: Methodsmentioning
confidence: 99%
“…, n . This assumption is common in Markov modeling (e.g., Bacci, Pandolfi, & Pennoni, 2014; Gudicha, Schmittmann, & Vermunt, 2016; Zucchini, MacDonald, & Langrock, 2016, p. 15). Besides being common practice, here, we also assume time homogeneity of the Markov structure to prevent the model from becoming too complex.…”
Section: Challenges and A Possible Solutionmentioning
confidence: 99%
“…We can show (see, for instance, Cappé, Moulines, & Rydén, ; McLachlan & Krishnan, ) that our EM algorithm generates a sequence of estimates, θfalse(cfalse), c1, satisfying lfalse(θfalse(c+1false)false)lfalse(θfalse(cfalse)false). One could also perform a numerical likelihood maximization as described in MacDonald () and Zucchini, MacDonald, & Langrock ().…”
Section: Overview Of the Proposed Methodologymentioning
confidence: 99%