Reveals How HMMs Can Be Used as General-Purpose Time Series Models
Implements all methods in R
Hidden Markov Models for Time Series: An Introduction Using R applies hidden Markov models (HMMs) to a wide range of time series types, from continuous-valued, circular, and multivariate series to binary data, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out computations for parameter estimation, model selection and checking, decoding, and forecasting.
Illustrates the methodology in action
After presenting the simple Poisson HMM, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference. Through examples and applications, the authors describe how to extend and generalize the basic model so it can be applied in a rich variety of situations. They also provide R code for some of the examples, enabling the use of the codes in similar applications.
Effectively interpret data using HMMs
This book illustrates the wonderful flexibility of HMMs as general-purpose models for time series data. It provides a broad understanding of the models and their uses.
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University of Gottingen, Germany University of Cape Town, South Africa University College, London, UK Stanford University, California, USA Johns Hopkins Bloomberg School of Public Health, MD, USA London School of Economics, UK London School of Economics, UK University of Copenhagen, DenmarkReview:
The book would be a good text for a seminar or a course on HMM or for self-learning the topic. ... Those who have the background necessary to use the R code and to replicate the results throughout the book will find plenty of material in this book to extend what they learn to their own data. The book is written very pedagogically ... all the data sets, errata sheet, R code, among other things, can be accessed at the web site.
―Journal of Statistical Software, Vol. 43, October 2011
... this book has a very nice mix of probability, statistics, and data analysis. It is suitable for a course in stochastic modeling using hidden Markov models, but also serves well as an introduction for nonspecialists.
―Biometrics, 67, September 2011
... this is an excellent book, which should be of great interest to applied statisticians looking for a clear introduction to HMMs and advice on the practical implementation of these models. It is also an ideal teaching resource.
―Australian & New Zealand Journal of Statistics, 2011
It is clear that much care has gone into this book: it has a very detailed contents list, a list of abbreviations and notations, thoughtful data analyses, many references and a detailed index. In fact, it would be difficult not to thoroughly recommend it to anyone interested in learning how to tackle these types of data.
―International Statistical Review (2011), 79, 1
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