This paper develops a method to efficiently estimate hidden Markov models with continuous latent variables using maximum likelihood estimation. To evaluate the (marginal) likelihood function, I ...

In multiple change-point problems, different data segments often follow different distributions, for which the changes may occur in the mean, scale or the entire distribution from one segment to ...

For some of my current projects, I'm probably going to need to eventually estimate some models using Metropolis-Hastings sampling. I understand the basic concepts, and the software I use (R) has ...