Bayesian Methods for Hidden Markov Models: Recursive Computing in the 21st Century - Scott, Steven L (Journal of the American Statistical Association, 2002)
Keywords: Algorithms; Bayes estimators; Bayesian analysis; Bayesian method; Computers; Data sampling; Distribution theory; Exact sciences and technology; Forward-backward recursion; Fraud; Gibbs sampler; Gross national product; Inference from stochastic processes; time series analysis; Kalman filter; Local computation; Markov analysis; Markov chain Monte Carlo; Markov chains; Markov models; Markov processes; Markovian processes; Mathematics; Methods; Metropolitan areas; Modeling; Monte Carlo simulation; Parametric models; Polytopes; Probability; Probability and statistics; Probability theory and stochastic processes; Recursion; Review Paper; Sciences and techniques of general use; Statistical analysis; Statistical methods; Statistics; Mixed distribution; Conditional distribution; Statistical analysis; Kalman filter; Mixture model; Statistical estimation; Gibbs sampling; Poisson distribution; Asymptotic convergence; MCMC algorithm; Marginal distribution; Log likelihood; Hidden Markov model; Recursive method; Predictive value; Forward backward recursion; Bayes methods; Computing method; Posterior distribution