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Article: Interactive hidden Markov models and their applications

TitleInteractive hidden Markov models and their applications
Authors
Ching, WKFung, ENg, MSiu, TKLi, WK
KeywordsCategorical time series
Hidden Markov model
Prediction of demand
Steady-state probability distribution
Issue Date2007
PublisherOxford University Press. The Journal's web site is located at http://imaman.oxfordjournals.org/
Citation
Ima Journal Management Mathematics, 2007, v. 18 n. 1, p. 85-97 How to Cite?
DOI: http://dx.doi.org/10.1093/imaman/dpl014
AbstractIn this paper, we propose an Interactive hidden Markov model (IHMM). In a traditional HMM, the observable states are affected directly by the hidden states, but not vice versa. In the proposed IHMM, the transitions of hidden states depend on the observable states. We also develop an efficient estimation method for the model parameters. Numerical examples on the sales demand data and economic data are given to demonstrate the applicability of the model.
Persistent Identifierhttp://hdl.handle.net/10722/156177
ISSN
1471-678X
2021 Impact Factor: 2.095
2020 SCImago Journal Rankings: 0.484

 

DC FieldValueLanguage
dc.contributor.authorChing, WKen_HK
dc.contributor.authorFung, Een_HK
dc.contributor.authorNg, Men_HK
dc.contributor.authorSiu, TKen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2012-08-08T08:40:43Z-
dc.date.available2012-08-08T08:40:43Z-
dc.date.issued2007en_HK
dc.identifier.citationIma Journal Management Mathematics, 2007, v. 18 n. 1, p. 85-97en_HK
dc.identifier.issn1471-678Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/156177-
dc.description.abstractIn this paper, we propose an Interactive hidden Markov model (IHMM). In a traditional HMM, the observable states are affected directly by the hidden states, but not vice versa. In the proposed IHMM, the transitions of hidden states depend on the observable states. We also develop an efficient estimation method for the model parameters. Numerical examples on the sales demand data and economic data are given to demonstrate the applicability of the model.en_HK
dc.languageengen_US
dc.publisherOxford University Press. The Journal's web site is located at http://imaman.oxfordjournals.org/en_HK
dc.relation.ispartofIMA Journal Management Mathematicsen_HK
dc.rightsIMA Journal of Management Mathematics. Copyright © Oxford University Press.-
dc.subjectCategorical time seriesen_HK
dc.subjectHidden Markov modelen_HK
dc.subjectPrediction of demanden_HK
dc.subjectSteady-state probability distributionen_HK
dc.titleInteractive hidden Markov models and their applicationsen_HK
dc.typeArticleen_HK
dc.identifier.emailChing, WK: wching@hku.hken_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityChing, WK=rp00679en_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1093/imaman/dpl014en_HK
dc.identifier.scopuseid_2-s2.0-33845383467en_HK
dc.identifier.hkuros125188-
dc.identifier.volume18en_HK
dc.identifier.issue1en_HK
dc.identifier.spage85en_HK
dc.identifier.epage97en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridChing, WK=13310265500en_HK
dc.identifier.scopusauthoridFung, E=7005440799en_HK
dc.identifier.scopusauthoridNg, M=34571761900en_HK
dc.identifier.scopusauthoridSiu, TK=8655758200en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.citeulike986526-
dc.identifier.issnl1471-678X-

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