Semiparametric hidden Markov model with non-parametric regression

doi:10.1080/03610926.2017.1388398

CORC > 上海财经大学 > 上海财经大学

	Semiparametric hidden Markov model with non-parametric regression
	Huang, Mian 1; Ji, Qinghua 1; Yao, Weixin 2
刊名	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
	2018
卷号	47 期号:21 页码:5196-5204
关键词	EM algorithm forward-backward algorithm hidden Markov model regression kernel regression
ISSN号	0361-0926
DOI	10.1080/03610926.2017.1388398
英文摘要	The hidden Markov model regression (HMMR) has been popularly used in many fields such as gene expression and activity recognition. However, the traditional HMMR requires the strong linearity assumption for the emission model. In this article, we propose a hidden Markov model with non-parametric regression (HMM-NR), where the mean and variance of emission model are unknown smooth functions. The new semiparametric model might greatly reduce the modeling bias and thus enhance the applicability of the traditional hidden Markov model regression. We propose an estimation procedure for the transition probability matrix and the non-parametric mean and variance functions by combining the ideas of the EM algorithm and the kernel regression. Simulation studies and a real data set application are used to demonstrate the effectiveness of the new estimation procedure.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000441632900003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/746]
专题	上海财经大学
通讯作者	Yao, Weixin
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Univ Calif Riverside, Dept Stat, Riverside, CA 92521 USA
推荐引用方式 GB/T 7714	Huang, Mian,Ji, Qinghua,Yao, Weixin. Semiparametric hidden Markov model with non-parametric regression[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2018,47(21):5196-5204.
APA	Huang, Mian,Ji, Qinghua,&Yao, Weixin.(2018).Semiparametric hidden Markov model with non-parametric regression.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,47(21),5196-5204.
MLA	Huang, Mian,et al."Semiparametric hidden Markov model with non-parametric regression".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 47.21(2018):5196-5204.