Hidden Markov Models for Time Series_An Introduction Using R (2nd Edition)

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Hidden Markov Models

for Time Series

An Introduction Using R

Second Edition

Hidden Markov Models for Time Series

Second Edition

Walter Zucchini

Iain L. MacDonald

Roland Langrock

Zucchini • MacDonald

Langrock

Monographs on Statistics and Applied Probability 150

150

From a review of the ﬁrst edition

“It would be difcult not to thoroughly recommend it to anyone interested in

learning how to tackle these types of data.” (International Statistical Review)

Hidden Markov Models for Time Series: An Introduction Using R, Second

Edition illustrates the great exibility of hidden Markov models (HMMs) as

general-purpose models for time series data. The book provides a broad

understanding of the models and their uses.

After presenting the basic model formulation, the book covers estimation,

forecasting, decoding, prediction, model selection, and Bayesian inference

for HMMs. Through examples and applications, the authors describe how

to extend and generalize the basic model so that it can be applied in a rich

variety of situations.

The book demonstrates how HMMs can be applied to a wide range of types

of time series: continuous-valued, circular, multivariate, binary, bounded and

unbounded counts, and categorical observations. It also discusses how

to employ the freely available computing environment R to carry out the

computations.

Features

• Presents an accessible overview of HMMs

• Explores a variety of applications in ecology, nance, epidemiology,

climatology, and sociology

• Includes numerous theoretical and programming exercises

• Provides most of the analysed data sets online

New to the second edition

• A total of ve chapters on extensions, including HMMs for longitudinal

data, hidden semi-Markov models and models with continuous-valued

state process

• New case studies on animal movement, rainfall occurrence and

capture–recapture data

Statistics

K23936

www.crcpress.com

K23936_cover.indd 1 5/5/16 1:02 PM

MONOGRAPHS ON STATISTICS AND APPLIED PROBABILITY

General Editors

F. Bunea, V. Isham, N. Keiding, T. Louis, R. L. Smith, and H. Tong

1. Stochastic Population Models in Ecology and Epidemiology M.S. Barlett (1960)

2. Queues D.R. Cox and W.L. Smith (1961)

3. Monte Carlo Methods J.M. Hammersley and D.C. Handscomb (1964)

4. The Statistical Analysis of Series of Events D.R. Cox and P.A.W. Lewis (1966)

5. Population Genetics W.J. Ewens (1969)

6. Probability, Statistics and Time M.S. Barlett (1975)

7. Statistical Inference S.D. Silvey (1975)

8. The Analysis of Contingency Tables B.S. Everitt (1977)

9. Multivariate Analysis in Behavioural Research A.E. Maxwell (1977)

10. Stochastic Abundance Models S. Engen (1978)

11. Some Basic Theory for Statistical Inference E.J.G. Pitman (1979)

12. Point Processes D.R. Cox and V. Isham (1980)

13. Identication of Outliers D.M. Hawkins (1980)

14. Optimal Design S.D. Silvey (1980)

15. Finite Mixture Distributions B.S. Everitt and D.J. Hand (1981)

16. Classication A.D. Gordon (1981)

17. Distribution-Free Statistical Methods, 2nd edition J.S. Maritz (1995)

18. Residuals and Inuence in Regression R.D. Cook and S. Weisberg (1982)

19. Applications of Queueing Theory, 2nd edition G.F. Newell (1982)

20. Risk Theory, 3rd edition R.E. Beard, T. Pentikäinen and E. Pesonen (1984)

21. Analysis of Survival Data D.R. Cox and D. Oakes (1984)

22. An Introduction to Latent Variable Models B.S. Everitt (1984)

23. Bandit Problems D.A. Berry and B. Fristedt (1985)

24. Stochastic Modelling and Control M.H.A. Davis and R. Vinter (1985)

25. The Statistical Analysis of Composition Data J. Aitchison (1986)

26. Density Estimation for Statistics and Data Analysis B.W. Silverman (1986)

27. Regression Analysis with Applications G.B. Wetherill (1986)

28. Sequential Methods in Statistics, 3rd edition G.B. Wetherill and K.D. Glazebrook (1986)

29. Tensor Methods in Statistics P. McCullagh (1987)

30. Transformation and Weighting in Regression R.J. Carroll and D. Ruppert (1988)

31. Asymptotic Techniques for Use in Statistics O.E. Bandorff-Nielsen and D.R. Cox (1989)

32. Analysis of Binary Data, 2nd edition D.R. Cox and E.J. Snell (1989)

33. Analysis of Infectious Disease Data N.G. Becker (1989)

34. Design and Analysis of Cross-Over Trials B. Jones and M.G. Kenward (1989)

35. Empirical Bayes Methods, 2nd edition J.S. Maritz and T. Lwin (1989)

36. Symmetric Multivariate and Related Distributions K.T. Fang, S. Kotz and K.W. Ng (1990)

37. Generalized Linear Models, 2nd edition P. McCullagh and J.A. Nelder (1989)

38. Cyclic and Computer Generated Designs, 2nd edition J.A. John and E.R. Williams (1995)

39. Analog Estimation Methods in Econometrics C.F. Manski (1988)

40. Subset Selection in Regression A.J. Miller (1990)

41. Analysis of Repeated Measures M.J. Crowder and D.J. Hand (1990)

42. Statistical Reasoning with Imprecise Probabilities P. Walley (1991)

43. Generalized Additive Models T.J. Hastie and R.J. Tibshirani (1990)

44. Inspection Errors for Attributes in Quality Control N.L. Johnson, S. Kotz and X. Wu (1991)

45. The Analysis of Contingency Tables, 2nd edition B.S. Everitt (1992)

46. The Analysis of Quantal Response Data B.J.T. Morgan (1992)

47. Longitudinal Data with Serial Correlation—A State-Space Approach R.H. Jones (1993)

48. Differential Geometry and Statistics M.K. Murray and J.W. Rice (1993)

49. Markov Models and Optimization M.H.A. Davis (1993)

50. Networks and Chaos—Statistical and Probabilistic Aspects

O.E. Barndorff-Nielsen, J.L. Jensen and W.S. Kendall (1993)

51. Number-Theoretic Methods in Statistics K.-T. Fang and Y. Wang (1994)

52. Inference and Asymptotics O.E. Barndorff-Nielsen and D.R. Cox (1994)

53. Practical Risk Theory for Actuaries C.D. Daykin, T. Pentikäinen and M. Pesonen (1994)

54. Biplots J.C. Gower and D.J. Hand (1996)

55. Predictive Inference—An Introduction S. Geisser (1993)

56. Model-Free Curve Estimation M.E. Tarter and M.D. Lock (1993)

57. An Introduction to the Bootstrap B. Efron and R.J. Tibshirani (1993)

58. Nonparametric Regression and Generalized Linear Models P.J. Green and B.W. Silverman (1994)

59. Multidimensional Scaling T.F. Cox and M.A.A. Cox (1994)

60. Kernel Smoothing M.P. Wand and M.C. Jones (1995)

61. Statistics for Long Memory Processes J. Beran (1995)

62. Nonlinear Models for Repeated Measurement Data M. Davidian and D.M. Giltinan (1995)

63. Measurement Error in Nonlinear Models R.J. Carroll, D. Rupert and L.A. Stefanski (1995)

64. Analyzing and Modeling Rank Data J.J. Marden (1995)

65. Time Series Models—In Econometrics, Finance and Other Fields

D.R. Cox, D.V. Hinkley and O.E. Barndorff-Nielsen (1996)

66. Local Polynomial Modeling and its Applications J. Fan and I. Gijbels (1996)

67. Multivariate Dependencies—Models, Analysis and Interpretation D.R. Cox and N. Wermuth (1996)

68. Statistical Inference—Based on the Likelihood A. Azzalini (1996)

69. Bayes and Empirical Bayes Methods for Data Analysis B.P. Carlin and T.A Louis (1996)

70. Hidden Markov and Other Models for Discrete-Valued Time Series I.L. MacDonald and W. Zucchini (1997)

71. Statistical Evidence—A Likelihood Paradigm R. Royall (1997)

72. Analysis of Incomplete Multivariate Data J.L. Schafer (1997)

73. Multivariate Models and Dependence Concepts H. Joe (1997)

74. Theory of Sample Surveys M.E. Thompson (1997)

75. Retrial Queues G. Falin and J.G.C. Templeton (1997)

76. Theory of Dispersion Models B. Jørgensen (1997)

77. Mixed Poisson Processes J. Grandell (1997)

78. Variance Components Estimation—Mixed Models, Methodologies and Applications P.S.R.S. Rao (1997)

79. Bayesian Methods for Finite Population Sampling G. Meeden and M. Ghosh (1997)

80. Stochastic Geometry—Likelihood and computation

O.E. Barndorff-Nielsen, W.S. Kendall and M.N.M. van Lieshout (1998)

81. Computer-Assisted Analysis of Mixtures and Applications—Meta-Analysis, Disease Mapping and Others

D. Böhning (1999)

82. Classication, 2nd edition A.D. Gordon (1999)

83. Semimartingales and their Statistical Inference B.L.S. Prakasa Rao (1999)

84. Statistical Aspects of BSE and vCJD—Models for Epidemics C.A. Donnelly and N.M. Ferguson (1999)

85. Set-Indexed Martingales G. Ivanoff and E. Merzbach (2000)

86. The Theory of the Design of Experiments D.R. Cox and N. Reid (2000)

87. Complex Stochastic Systems O.E. Barndorff-Nielsen, D.R. Cox and C. Klüppelberg (2001)

88. Multidimensional Scaling, 2nd edition T.F. Cox and M.A.A. Cox (2001)

89. Algebraic Statistics—Computational Commutative Algebra in Statistics

G. Pistone, E. Riccomagno and H.P. Wynn (2001)

90. Analysis of Time Series Structure—SSA and Related Techniques

N. Golyandina, V. Nekrutkin and A.A. Zhigljavsky (2001)

91. Subjective Probability Models for Lifetimes Fabio Spizzichino (2001)

92. Empirical Likelihood Art B. Owen (2001)

93. Statistics in the 21st Century Adrian E. Raftery, Martin A. Tanner, and Martin T. Wells (2001)

94. Accelerated Life Models: Modeling and Statistical Analysis

Vilijandas Bagdonavicius and Mikhail Nikulin (2001)

95. Subset Selection in Regression, Second Edition Alan Miller (2002)

96. Topics in Modelling of Clustered Data Marc Aerts, Helena Geys, Geert Molenberghs, and Louise M. Ryan (2002)

97. Components of Variance D.R. Cox and P.J. Solomon (2002)

98. Design and Analysis of Cross-Over Trials, 2nd Edition Byron Jones and Michael G. Kenward (2003)

99. Extreme Values in Finance, Telecommunications, and the Environment

Bärbel Finkenstädt and Holger Rootzén (2003)

100. Statistical Inference and Simulation for Spatial Point Processes

Jesper Møller and Rasmus Plenge Waagepetersen (2004)

101. Hierarchical Modeling and Analysis for Spatial Data

Sudipto Banerjee, Bradley P. Carlin, and Alan E. Gelfand (2004)

102. Diagnostic Checks in Time Series

Wai Keung Li (2004)

103. Stereology for Statisticians

Adrian Baddeley and Eva B. Vedel Jensen (2004)

104. Gaussian Markov Random Fields: Theory and Applications

H˚avard Rue and Leonhard Held (2005)

105. Measurement Error in Nonlinear Models: A Modern Perspective, Second Edition

Raymond J. Carroll, David Ruppert, Leonard A. Stefanski, and Ciprian M. Crainiceanu (2006)

106. Generalized Linear Models with Random Effects: Unied Analysis via H-likelihood

Youngjo Lee, John A. Nelder, and Yudi Pawitan (2006)

107. Statistical Methods for Spatio-Temporal Systems

Bärbel Finkenstädt, Leonhard Held, and Valerie Isham (2007)

108. Nonlinear Time Series: Semiparametric and Nonparametric Methods

Jiti Gao (2007)

109. Missing Data in Longitudinal Studies: Strategies for Bayesian Modeling and Sensitivity Analysis

Michael J. Daniels and Joseph W. Hogan (2008)

110. Hidden Markov Models for Time Series: An Introduction Using R

Walter Zucchini and Iain L. MacDonald (2009)

111. ROC Curves for Continuous Data

Wojtek J. Krzanowski and David J. Hand (2009)

112. Antedependence Models for Longitudinal Data

Dale L. Zimmerman and Vicente A. Núñez-Antón (2009)

113. Mixed Effects Models for Complex Data

Lang Wu (2010)

114. Intoduction to Time Series Modeling

Genshiro Kitagawa (2010)

115. Expansions and Asymptotics for Statistics

Christopher G. Small (2010)

116. Statistical Inference: An Integrated Bayesian/Likelihood Approach

Murray Aitkin (2010)

117. Circular and Linear Regression: Fitting Circles and Lines by Least Squares

Nikolai Chernov (2010)

118. Simultaneous Inference in Regression

Wei Liu (2010)

119. Robust Nonparametric Statistical Methods, Second Edition

Thomas P. Hettmansperger and Joseph W. McKean (2011)

120. Statistical Inference: The Minimum Distance Approach

Ayanendranath Basu

, Hiroyuki Shioya, and Chanseok Park (2011)

121. Smoothing Splines: Methods and Applications Yuedong Wang

(2011)

122. Extreme Value Methods with Applications to Finance Serguei Y. Novak

(2012)

123. Dynamic Prediction in Clinical Survival Analysis Hans C. van Houwelingen and Hein Putter

(2012)

124. Statistical Methods for Stochastic Differential Equations

Mathieu Kessler, Alexander Lindner, and Michael Sørensen

(2012)

125. Maximum Likelihood Estimation for Sample Surveys

R. L. Chambers, D. G. Steel

Suojin Wang, and A. H. Welsh

(2012)

126. Mean Field Simulation for Monte Carlo Integration Pierre Del Moral

(2013)

127. Analysis of Variance for Functional Data Jin-Ting Zhang

(2013)

128. Statistical Analysis of Spatial and Spatio-Temporal Point Patterns, Third Edition Peter J. Diggle

(2013)

129. Constrained Principal Component Analysis and Related Techniques Yoshio Takane

(2014)

130. Randomised Response-Adaptive Designs in Clinical Trials Anthony C. Atkinson and Atanu Biswas

(2014)

131. Theory of Factorial Design: Single- and Multi-Stratum Experiments Ching-Shui Cheng

(2014)

132. Quasi-Least Squares Regression Justine Shults and Joseph M. Hilbe

(2014)

133. Data Analysis and Approximate Models: Model Choice, Location-Scale, Analysis of Variance, Nonparametric

Regression and Image Analysis Laurie Davies

(2014)

134. Dependence Modeling with Copulas Harry Joe

(2014)

135. Hierarchical Modeling and Analysis for Spatial Data, Second Edition Sudipto Banerjee, Bradley P. Carlin,

and Alan E. Gelfand

(2014)

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