Hidden Markov Models for Time Series

An Introduction Using R, Second Edition

Walter Zucchini, Iain L. MacDonald, Roland Langrock

• Publisher: Chapman and Hall/CRC
• Year: 2017
• Print ISBN: 9780367834333
• eBook ISBN: 9781315355207
• Edition: 2
• Topic: Mathematics
• Subtopic: Probability & Statistics
• Index: Mathematics

Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses.

After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations.

The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations.

Features

1. Presents an accessible overview of HMMs
2. Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology
3. Includes numerous theoretical and programming exercises
4. Provides most of the analysed data sets online

New to the second edition

1. A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process
2. New case studies on animal movement, rainfall occurrence and capture-recapture data

PART I

Model structure, properties and methods

CHAPTER 1

Preliminaries: mixtures and Markov chains

1.1 Introduction

Hidden Markov models (HMMs) are models in which the distribution that generates an observation depends on the state of an underlying and unobserved Markov process. They provide flexible general-purpose models for univariate and multivariate time series, especially for discrete-valued series, including categorical series and series of counts.

The purposes of this chapter are to provide a brief and informal introduction to HMMs, and to their many potential uses, and then to discuss two topics that will be fundamental in understanding the structure of such models. In Section 1.2 we give an account of (finite) mixture distributions, because the marginal distribution of a hidden Markov model is a mixture distribution. Then, in Section 1.3, we introduce Markov chains, which provide the underlying ‘parameter process’ of a hidden Markov model.

Consider, as an example, the series of annual counts of major earthquakes (i.e. magnitude 7 and above) for the years 1900–2006, both inclusive, displayed in Table 1.1 and Figure 1.1.^* For this series, the application of standard models such as autoregressive moving-average (ARMA) models would be inappropriate, because such models are based on the normal distribution. Instead, the usual model for unbounded counts is the Poisson distribution, but, as will be demonstrated later, the series displays considerable overdispersion relative to the Poisson distribution, and strong positive serial dependence. A model consisting of independent Poisson random variables would therefore for two reasons also be inappropriate. An examination of Figure 1.1 suggests that there may be some periods with a low rate of earthquakes, and some with a relatively high rate. HMMs, which allow the probability distribution of each observation to depend on the unobserved (or ‘hidden’) state of a Markov chain, can accommodate both overdispersion and serial dependence. We shall ...

Table of contents

• Cover
• Half Title
• Title Page
• Copyright Page
• Dedication
• Table of Contents
• Preface
• Preface to first edition
• Notation and abbreviations
• I Model structure, properties and methods
• II Extensions
• III Applications
• A Examples of R code
• B Some proofs
• References
• Author index
• Subject index