Bayesian Inference in Hidden Markov Models through Reversible Jump Markov Chain Monte Carlo
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چکیده
Hidden Markov models form an extension of mixture models providing a ex-ible class of models exhibiting dependence and a possibly large degree of variability. In this paper we show how reversible jump Markov chain Monte Carlo techniques can be used to estimate the parameters as well as the number of components of a hidden Markov model in a Bayesian framework. We employ a mixture of zero mean normal distributions as our main example and apply this model to three sets of data from nance, meteorology and geomagnetism, respectively.
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تاریخ انتشار 2007