Computational Advances and Applications of Hidden (Semi-)Markov Models

The document is my habilitation thesis, which is a prerequisite for obtaining the "habilitation a diriger des recherche (HDR)" in France (https://fr.wikipedia.org/wiki/Habilitation_universitaire#En_France). The thesis is of cumulative form, thus providing an overview of my published works until summer 2013.

[1]  Antonello Maruotti,et al.  Two‐part regression models for longitudinal zero‐inflated count data , 2010 .

[2]  James D. Hamilton A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .

[3]  M. Borodovsky,et al.  GeneMark.hmm: new solutions for gene finding. , 1998, Nucleic acids research.

[4]  Antonello Maruotti,et al.  ESTIMATION OF THE STATIONARY DISTRIBUTION OF A SEMI-MARKOV CHAIN , 2012 .

[5]  Sascha Mergner,et al.  Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques , 2008 .

[6]  S. Sunder Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks , 1980 .

[7]  Richard D. F. Harris,et al.  The Empirical Distribution of UK and US Stock Returns , 2001 .

[8]  Douglas L. Brutlag,et al.  Bayesian Segmentation of Protein Secondary Structure , 2000, J. Comput. Biol..

[9]  H. Kobayashi,et al.  An efficient forward-backward algorithm for an explicit-duration hidden Markov model , 2003, IEEE Signal Processing Letters.

[10]  Jin H. Kim,et al.  Nonstationary hidden Markov model , 1995, Signal Process..

[11]  Lain L. MacDonald,et al.  Hidden Markov and Other Models for Discrete- valued Time Series , 1997 .

[12]  J. Sansom,et al.  Fitting hidden semi-Markov models to breakpoint rainfall data , 2001, Journal of Applied Probability.

[13]  Christophe Chesneau,et al.  Markov-switching asset allocation: Do profitable strategies exist? , 2011 .

[14]  Y. Guédon Estimating Hidden Semi-Markov Chains From Discrete Sequences , 2003 .

[15]  Christian P. Robert,et al.  Reparameterization strategies for hidden Markov models and Bayesian approaches to maximum likelihood estimation , 1998, Stat. Comput..

[16]  C. D. Sinclair,et al.  An Analysis of the Distribution of Extreme Share Returns in the UK from 1975 to 2000 , 2004 .

[17]  Søren Højsgaard,et al.  Hidden Semi Markov Models for Multiple Observation Sequences: The mhsmm Package for R , 2011 .

[18]  Katherine N. Lemon,et al.  Capturing the Evolution of Customer–Firm Relationships: How Customers Become More (or Less) Valuable Over Time , 2013 .

[19]  Keith H. Black International Asset Allocation with Regime Shifts , 2003 .

[20]  W. Zucchini,et al.  Hidden Markov Models for Time Series: An Introduction Using R , 2009 .

[21]  J. J. Moré,et al.  Quasi-Newton Methods, Motivation and Theory , 1974 .

[22]  Thomas H. McCurdy,et al.  Identifying Bull and Bear Markets in Stock Returns , 2000 .

[23]  Jan Bulla,et al.  On Choosing a Mixture Model for Clustering , 2021, Journal of Data Science.

[24]  Ho-Chuan Huang Tests of regimes - switching CAPM , 2000 .

[25]  Shunzheng Yu,et al.  Hidden semi-Markov models , 2010, Artif. Intell..

[26]  J A Nelder,et al.  Statistics in medical journals: some recent trends. , 2001, Statistics in medicine.

[27]  Harshinder Singh,et al.  Probabilistic model for two dependent circular variables , 2002 .

[28]  D G Altman,et al.  The scandal of poor medical research , 1994, BMJ.

[29]  Maria Soledad Martinez Peria A regime-switching approach to the study of speculative attacks: A focus on EMS crises , 2002 .

[30]  J. Lintner THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[31]  Søren Højsgaard,et al.  The R Package geepack for Generalized Estimating Equations , 2005 .

[32]  Jan Bulla,et al.  Stylized facts of financial time series and hidden semi-Markov models , 2006, Comput. Stat. Data Anal..

[33]  Tsung I. Lin,et al.  Maximum likelihood estimation for multivariate skew normal mixture models , 2009, J. Multivar. Anal..

[34]  A. Maruotti,et al.  A Multivariate Hidden Markov Model for the Identification of Sea Regimes from Incomplete Skewed and Circular Time Series , 2012 .

[35]  A. Gauthier,et al.  Calibration and performance assessment of a temperature sensor prototype using a 1-point calibration procedure. , 2012, The Review of scientific instruments.

[36]  J. Mullahy Specification and testing of some modified count data models , 1986 .

[37]  R. Langrock,et al.  Hidden Markov models with arbitrary state dwell-time distributions , 2011, Comput. Stat. Data Anal..

[38]  D G Altman,et al.  Statistics in medical journals: developments in the 1980s. , 1991, Statistics in medicine.

[39]  Jan Bulla,et al.  Computational issues in parameter estimation for stationary hidden Markov models , 2008, Comput. Stat..

[40]  J. Ledolter,et al.  Some Further Evidence on the Stochastic Properties of Systematic Risk , 1987 .

[41]  Francesco Bartolucci,et al.  Latent Markov Models for Longitudinal Data , 2012 .

[42]  C. Granger,et al.  Some Properties of Absolute Return, An Alternative Measure of Risk , 1995 .

[43]  Bobby Schnabel,et al.  A modular system of algorithms for unconstrained minimization , 1985, TOMS.

[44]  D G Altman,et al.  Statistics in medical journals. , 1982, Statistics in medicine.

[45]  Burkhard Morgenstern,et al.  Detection of viral sequence fragments of HIV-1 subfamilies yet unknown , 2011, BMC Bioinformatics.

[46]  John A. Nelder,et al.  A Simplex Method for Function Minimization , 1965, Comput. J..

[47]  Stephen E. Levinson,et al.  Continuously variable duration hidden Markov models for automatic speech recognition , 1986 .

[48]  T. Rydén,et al.  Stylized Facts of Daily Return Series and the Hidden Markov Model , 1998 .

[49]  W. Sharpe CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .

[50]  P. Newbold,et al.  An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model , 1984 .

[51]  J. Brooks Why most published research findings are false: Ioannidis JP, Department of Hygiene and Epidemiology, University of Ioannina School of Medicine, Ioannina, Greece , 2008 .

[52]  H. Ehrenreich,et al.  Hippocampal Cannabinoid-1 Receptor Upregulation Upon Endothelin-B Receptor Deficiency: A Neuroprotective Substitution Effect? , 2005, Neurochemical Research.

[53]  Clive W. J. Granger,et al.  Stylized Facts on the Temporal and Distributional Properties of Daily Data from Speculative Markets , 1999 .

[54]  A. Lo,et al.  THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.

[55]  Jan Bulla,et al.  hsmm - An R package for analyzing hidden semi-Markov models , 2010, Comput. Stat. Data Anal..

[56]  Jan Bulla,et al.  Hidden Markov models with t components. Increased persistence and other aspects , 2011 .