Forecasting with non-homogeneous hidden Markov models
نویسندگان
چکیده
منابع مشابه
Forecasting with non-homogeneous hidden Markov models
We present a Bayesian forecasting methodology of discrete-time finite statespace hidden Markov models with non-constant transition matrix that depends on a set of exogenous covariates. We describe an MCMC reversible jump algorithm for predictive inference, allowing for model uncertainty regarding the set of covariates that affect the transition matrix. We apply our models to interest rates and ...
متن کاملNon-homogeneous hidden Markov-switching models for wind time series
HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau...
متن کاملInterleaved Factorial Non-Homogeneous Hidden Markov Models for Energy Disaggregation
To reduce energy demand in households it is useful to know which electrical appliances are in use at what times. Monitoring individual appliances is costly and intrusive, whereas data on overall household electricity use is more easily obtained. In this paper, we consider the energy disaggregation problem where a household’s electricity consumption is disaggregated into the component appliances...
متن کاملA semiparametric approach to mixed non-homogeneous hidden Markov models
Longitudinal data, where the same set of subjects is repeatedly observed over time, are frequently analyzed by using HiddenMarkov models (HMMs). In this situation, heterogeneity may arise at individual and/or time level affecting the hidden process, i.e. the transition probabilities among hidden states. Non-homogeneous (NH) HMMs face with this problem by expressing the transition probabilities ...
متن کاملMarket forecasting using Hidden Markov Models
Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different financial time series depending on their structure. Subsequently, we analyse the forecasting methods exposed in the previous literature, putting on evidence their p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2010
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-010-9180-5