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Markov-switching state-space models with applications to neuroimaging

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  • Degras, David
  • Ting, Chee-Ming
  • Ombao, Hernando

Abstract

State-space models (SSM) with Markov switching offer a powerful framework for detecting multiple regimes in time series, analyzing mutual dependence and dynamics within regimes, and assessing transitions between regimes. These models however present considerable computational challenges due to the exponential number of possible regime sequences to account for. In addition, high dimensionality of time series can hinder likelihood-based inference. To address these challenges, novel statistical methods for Markov-switching SSMs are proposed using maximum likelihood estimation, Expectation-Maximization (EM), and parametric bootstrap. Solutions are developed for initializing the EM algorithm, accelerating convergence, and conducting inference. These methods, which are ideally suited to massive spatio-temporal data such as brain signals, are evaluated in simulations and applications to EEG studies of epilepsy and of motor imagery are presented.

Suggested Citation

  • Degras, David & Ting, Chee-Ming & Ombao, Hernando, 2022. "Markov-switching state-space models with applications to neuroimaging," Computational Statistics & Data Analysis, Elsevier, vol. 174(C).
    • Handle: RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001050
    DOI: 10.1016/j.csda.2022.107525
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    Cited by:

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    2. L. Scaffidi Domianello & E. Otranto, 2023. "On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence," Working Paper CRENoS 202304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

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