Quasi-hidden Markov model and its applications in change-point problems

• Main Author: WU Zhengxiao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: change-point problem; dynamic programming; hidden Markov model; long memory; quasi-hidden Markov model; Econometrics; Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1917
• Institution: Singapore Management University

In a hidden Markov model (HMM), the observed data are modelled as a Markov chain plus independent noises, hence loosely speaking, the model has a short memory. In this article, we introduce a broad class of models, quasi-hidden Markov models (QHMMs), which incorporate long memory in the models. We d...