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Hidden Markov and other models for discrete-valued time series

Discrete-valued time series are common in practice, but methods for their analysis are not well-known. In recent years, methods have been developed which are specifically designed for the analysis of discrete-valued time series. Hidden Markov and Other Models for Discrete-Valued Time Series introduc...

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Bibliographic Details
Main Author: MacDonald, Iain L.
Other Authors: Zucchini, W.
Format: Book
Language:English
Published: London New York Chapman & Hall c1997
Series:Monographs on statistics and applied probability (Series) 70
Subjects:
Markov processes
Time-series analysis
Discrete-time systems
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Table of Contents:
  • pt.1. Survey of models
  • A survey of models for discrete-valued time series
  • pt.2. Hidden Markov models
  • The basic models
  • Extensions and modifications
  • Applications
  • App.A. Proofs of results used in the derivation of the Baum-Welch algorithm
  • App.B. Data

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