Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates

Francesco Bartolucci, Alessio Farcomeni and Fulvia Pennoni

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2014, vol. 23, issue 3, 433-465

Abstract: We provide a comprehensive overview of latent Markov (LM) models for the analysis of longitudinal categorical data. We illustrate the general version of the LM model which includes individual covariates, and several constrained versions. Constraints make the model more parsimonious and allow us to consider and test hypotheses of interest. These constraints may be put on the conditional distribution of the response variables given the latent process (measurement model) or on the distribution of the latent process (latent model). We also illustrate in detail maximum likelihood estimation through the Expectation–Maximization algorithm, which may be efficiently implemented by recursions taken from the hidden Markov literature. We outline methods for obtaining standard errors for the parameter estimates. We also illustrate methods for selecting the number of states and for path prediction. Finally, we mention issues related to Bayesian inference of LM models. Possibilities for further developments are given among the concluding remarks. Copyright Sociedad de Estadística e Investigación Operativa 2014

Keywords: EM algorithm; Bayesian framework; Forward–Backward recursions; Hidden Markov models; Measurement errors; Panel data; Unobserved heterogeneity; 60G25; 6207; 62F15; 62M02; 62P25 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11749-014-0381-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:23:y:2014:i:3:p:433-465

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-014-0381-7

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().