Inference in Hidden Markov Models

Author: Olivier Cappé
Publisher: Springer Science & Business Media
ISBN: 0387289828
Format: PDF, ePub
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This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory. Topics range from filtering and smoothing of the hidden Markov chain to parameter estimation, Bayesian methods and estimation of the number of states. In a unified way the book covers both models with finite state spaces and models with continuous state spaces (also called state-space models) requiring approximate simulation-based algorithms that are also described in detail. Many examples illustrate the algorithms and theory. This book builds on recent developments to present a self-contained view.

Hidden Markov Models

Author: Robert J Elliott
Publisher: Springer Science & Business Media
ISBN: 0387848541
Format: PDF, Docs
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As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.

Hidden Markov Models for Time Series

Author: Walter Zucchini
Publisher: CRC Press
ISBN: 1482253844
Format: PDF, ePub, Mobi
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Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture–recapture data

Finite Mixture and Markov Switching Models

Author: Sylvia Frühwirth-Schnatter
Publisher: Springer Science & Business Media
ISBN: 0387357688
Format: PDF, Mobi
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The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.

Speech Recognition and Understanding

Author: Pietro Laface
Publisher: Springer Science & Business Media
ISBN: 3642766269
Format: PDF, Kindle
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The book collects the contributions to the NATO Advanced Study Institute on "Speech Recognition and Understanding: Recent Advances, Trends and Applications", held in Cetraro, Italy, during the first two weeks of July 1990. This Institute focused on three topics that are considered of particular interest and rich of i'p.novation by researchers in the fields of speech recognition and understanding: Advances in Hidden Markov modeling, connectionist approaches to speech and language modeling, and linguistic processing including language and dialogue modeling. The purpose of any ASI is that of encouraging scientific communications between researchers of NATO countries through advanced tutorials and presentations: excellent tutorials were offered by invited speakers that present in this book 15 papers which sum marize or detail the topics covered in their lectures. The lectures were complemented by discussions, panel sections and by the presentation of related works carried on by some of the attending researchers: these presentations have been collected in 42 short contributions to the Proceedings. This volume, that the reader can find useful for an overview, although incomplete, of the state of the art in speech understanding, is divided into 6 Parts.

Hidden Markov Models in Finance

Author: Rogemar S. Mamon
Publisher: Springer Science & Business Media
ISBN: 0387711635
Format: PDF, Mobi
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A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.

Semi Markov Chains and Hidden Semi Markov Models toward Applications

Author: Vlad Stefan Barbu
Publisher: Springer Science & Business Media
ISBN: 0387731733
Format: PDF, ePub
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Here is a work that adds much to the sum of our knowledge in a key area of science today. It is concerned with the estimation of discrete-time semi-Markov and hidden semi-Markov processes. A unique feature of the book is the use of discrete time, especially useful in some specific applications where the time scale is intrinsically discrete. The models presented in the book are specifically adapted to reliability studies and DNA analysis. The book is mainly intended for applied probabilists and statisticians interested in semi-Markov chains theory, reliability and DNA analysis, and for theoretical oriented reliability and bioinformatics engineers.

Neurocomputing

Author: Francoise Fogelman Soulie
Publisher: Springer Science & Business Media
ISBN: 3642761534
Format: PDF, ePub
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This volume contains the collected papers of the NATO Conference on Neurocomputing, held in Les Arcs in February 1989. For many of us, this conference was reminiscent of another NATO Conference, in 1985, on Disordered Systems [1], which was the first conference on neural nets to be held in France. To some of the participants that conference opened, in a way, the field of neurocomputing (somewhat exotic at that time!) and also allowed for many future fruitful contacts. Since then, the field of neurocomputing has very much evolved and its audience has increased so widely that meetings in the US have often gathered more than 2000 participants. However, the NATO workshops have a distinct atmosphere of free discussions and time for exchange, and so, in 1988, we decided to go for another session. This was an ~casion for me and some of the early birds of the 1985 conference to realize how much, and how little too, the field had matured.