Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145413 | Journal of Multivariate Analysis | 2015 | 12 Pages |
Abstract
We introduce multiple hidden Markov models (MHMMs) where a multivariate categorical time series depends on a latent multivariate Markov chain. MHMMs provide an elegant framework for specifying various independence relationships between multiple discrete time processes. These independencies are interpreted as Markov properties of a mixed graph and a chain graph associated respectively to the latent and observation components of the MHMM. These Markov properties are also translated into zero restrictions on the parameters of marginal models for the transition probabilities and the distributions of observable variables given the latent states.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
R. Colombi, S. Giordano,