Quasi-hidden Markov model and its applications in change-point problems
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2016
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1917 |
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| Institution: | Singapore Management University |
| Language: | English |