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A variance component test for mixed hidden Markov models

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  • Altman, Rachel MacKay

Abstract

The mixed hidden Markov model incorporates covariates and random effects in the hidden Markov model framework. In this paper, we develop a variance component test in the case where there is only one random effect.

Suggested Citation

  • Altman, Rachel MacKay, 2008. "A variance component test for mixed hidden Markov models," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1885-1893, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:13:p:1885-1893
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    References listed on IDEAS

    as
    1. Altman, Rachel MacKay, 2007. "Mixed Hidden Markov Models: An Extension of the Hidden Markov Model to the Longitudinal Data Setting," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 201-210, March.
    2. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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