Multiple hidden Markov models for categorical time series

R. Colombi and S. Giordano

Journal of Multivariate Analysis, 2015, vol. 140, issue C, 19-30

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.

Keywords: Conditional independence; Granger noncausality; Graphical models; Marginal models; Markov properties; Multivariate Markov chains (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.jmva.2015.04.002

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