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Hidden Markov models for time series : an introduction using R

Author: W Zucchini; Iain L MacDonald
Publisher: Boca Raton : CRC Press/Taylor & Francis Group, [2009] ©2009
Series: Monographs on statistics and applied probability (Series), 110.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"Hidden Markov Models for Time Series: An Introduction Using R applies hidden Markov models (HMMs) to a wide range of time series types, from continuous-valued, circular, and multivariate series to binary data, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out computations for parameter estimation, model selection and  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Zucchini, W.
Hidden Markov models for time series.
Boca Raton : CRC Press, ©2009
(DLC) 2009007294
(OCoLC)144565537
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: W Zucchini; Iain L MacDonald
ISBN: 9781420010893 1420010891
OCLC Number: 401461291
Notes: "A Chapman & Hall book."
Description: 1 online resource (xxii, 275 pages) : illustrations.
Contents: Part One. Model structure, properties and methods. 1. Preliminaries: mixtures and Markov chains --
2. Hidden Markov models: definition and properties --
3. Estimation by direct maximization of the likelihood --
4. Estimation by the EM algorithm --
5. Forecasting, decoding and state prediction --
6. Model selection and checking --
7. Bayesian inference for Poisson-HMMs --
Part Two. Applications. 9. Epileptic seizures --
10. Eruptions of the Old Faithful geyser --
11. Drosophila speed and change of direction --
12. Wind direction at Koeberg --
13. Models for financial series --
14. Births at Edendale Hospital --
15. Homicides and suicides in Cape Town --
16. Animal behaviour model with feedback --
A. Examples of R code --
B. Some proofs.
Series Title: Monographs on statistics and applied probability (Series), 110.
Responsibility: Walter Zucchini, Iain L. MacDonald.

Abstract:

Illustrates the flexibility of HMMs as general-purpose models for time series data. This work presents an overview of HMMs for analyzing time series data, from continuous-valued, circular, and  Read more...

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The book would be a good text for a seminar or a course on HMM or for self-learning the topic. ... Those who have the background necessary to use the R code and to replicate the results throughout Read more...

 
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