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Statistical Analysis of a Generalized Hidden Markov Model-Xinyuan Song (香港中文大学)

来源:南京审计大学点击数:17更新时间:2016-05-11

主  题:Statistical Analysis of a Generalized Hidden Markov Model

内容概况:This research considers a generalized hidden Markov model to investigate the dynamic patterns and possible heterogeneity of the associations and interrelationships among variables of interest in multivariate longitudinal data analysis. The model consists of a conditional latent variable model and a mixed hidden transition model to simultaneously address different types of dependencies within the data. The maximum likelihood procedure, coupled with the expectation-maximization algorithm and efficient sampling schemes, is developed to conduct parameter estimation. The issues of model selection and hypothesis testing are also addressed. The empirical performance of the proposed methodology is examined via simulation studies. A real data example is reported for illustration.

报告人:Xinyuan Song    教授   博导

时  间:2016-05-23    16:00

地  点:中和楼401

举办单位:经济与金融研究院

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