Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics

Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics

Novel seasonal hidden Markov models (SHMMs) for stochastic time series with periodically varying characteristics are developed. Nonlinear interactions among SHMM parameters prevent the use of the forward-backward algorithms which are usually used to fit hidden Markov models to a data sequence. Inste...

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Bibliographic Details
Main Author: Lewis, Arthur M.
Format: Others
Published: PDXScholar 1995
Subjects:
Markov processes > Computer programs
Precipitation variability > Computer programs
Electrical and Computer Engineering
Electrical and Electronics
Online Access:https://pdxscholar.library.pdx.edu/open_access_etds/5056
https://pdxscholar.library.pdx.edu/cgi/viewcontent.cgi?article=6128&context=open_access_etds
id ndltd-pdx.edu-oai-pdxscholar.library.pdx.edu-open_access_etds-6128
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spelling ndltd-pdx.edu-oai-pdxscholar.library.pdx.edu-open_access_etds-61282019-10-20T05:22:04Z Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics Lewis, Arthur M. Novel seasonal hidden Markov models (SHMMs) for stochastic time series with periodically varying characteristics are developed. Nonlinear interactions among SHMM parameters prevent the use of the forward-backward algorithms which are usually used to fit hidden Markov models to a data sequence. Instead, Powell's direction set method for optimizing a function is repeatedly applied to adjust SHMM parameters to fit a data sequence. SHMMs are applied to a set of meteorological data consisting of 9 years of daily rain gauge readings from four sites. The fitted models capture both the annual patterns and the short term persistence of rainfall patterns across the four sites. 1995-07-05T07:00:00Z text application/pdf https://pdxscholar.library.pdx.edu/open_access_etds/5056 https://pdxscholar.library.pdx.edu/cgi/viewcontent.cgi?article=6128&context=open_access_etds Dissertations and Theses PDXScholar Markov processes -- Computer programs Precipitation variability -- Computer programs Electrical and Computer Engineering Electrical and Electronics
collection NDLTD
format Others
sources NDLTD
topic Markov processes -- Computer programs
Precipitation variability -- Computer programs
Electrical and Computer Engineering
Electrical and Electronics
spellingShingle Markov processes -- Computer programs
Precipitation variability -- Computer programs
Electrical and Computer Engineering
Electrical and Electronics
Lewis, Arthur M.
Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics
description Novel seasonal hidden Markov models (SHMMs) for stochastic time series with periodically varying characteristics are developed. Nonlinear interactions among SHMM parameters prevent the use of the forward-backward algorithms which are usually used to fit hidden Markov models to a data sequence. Instead, Powell's direction set method for optimizing a function is repeatedly applied to adjust SHMM parameters to fit a data sequence. SHMMs are applied to a set of meteorological data consisting of 9 years of daily rain gauge readings from four sites. The fitted models capture both the annual patterns and the short term persistence of rainfall patterns across the four sites.
author Lewis, Arthur M.
author_facet Lewis, Arthur M.
author_sort Lewis, Arthur M.
title Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics
title_short Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics
title_full Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics
title_fullStr Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics
title_full_unstemmed Seasonal Hidden Markov Models for Stochastic Time Series with Periodically Varying Characteristics
title_sort seasonal hidden markov models for stochastic time series with periodically varying characteristics
publisher PDXScholar
publishDate 1995
url https://pdxscholar.library.pdx.edu/open_access_etds/5056
https://pdxscholar.library.pdx.edu/cgi/viewcontent.cgi?article=6128&context=open_access_etds
work_keys_str_mv AT lewisarthurm seasonalhiddenmarkovmodelsforstochastictimeserieswithperiodicallyvaryingcharacteristics
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