In this paper we study the relative entropy rate between a homogeneous Markov chain and a hidden Markov chain defined by observing the output of a discrete stochastic channel whose input is the finite state space homogeneous stationary Markov chain. For this purpose, we obtain the relative entropy between two finite subsequences of above mentioned chains with the help of the definition of...

two statistical downscaling models, the non-homogeneous hidden markov model (nhmm) and the statistical down–scaling model (sdsm) were used to generate future scenarios of both mean and extremes in the tarim river basin,which were based on nine combined scenarios including three general circulation models (gcms) (csiro30, echam5,and gfdl21) predictor sets and three special report on emission sce...

This paper introduces a new multinomial approach unifying the computation of confidence intervals for Markovian models. Starting from a method used for homogeneous Markov chains, we show that it can be applied on models incorporating a hidden component. We consider three models derived from the basic homogeneous Markov chain: the Mixture Transition Distribution (MTD) model, the Hidden Markov Mo...

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 ...

WAVELET-BASED NON-HOMOGENEOUS HIDDEN MARKOV CHAIN MODEL FOR HYPERSPECTRAL SIGNATURE CLASSIFICATION