Bayesian analysis of a two-state markov modulated poisson process?

Journal of Computational and Graphical Statistics

Volumn 8, Issue 3, 1999, Pages 662-670

  Scott, Steven L ^a  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Forward backward; Gibbs sampler; Hidden Markov model; Markov chain Monte Carlo

Indexed keywords

EID: 0033473824     PISSN: 10618600     EISSN: 15372715     Source Type: Journal    
DOI: 10.1080/10618600.1999.10474840     Document Type: Article

References (3)

1. Baum, L. E., Petrie, T., Soules, G., and Weiss, N. (1970), “A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains,” The Annals of Mathematical Statistics, 41, 164-171.
2. Chib, S. (1996), “Calculating Posterior Distributions and Modal Estimates in Markov Mixture Models,” Journal of Econometrics, 75, 79-97.
3. Robert, C. P., Celeux, G., and Diebolt, J. (1993), “Bayesian Estimation of Hidden Markov Chains: A Stochastic. Implementation,” Statistics and Probability Letters, 16, 77-83.