Nonhomogeneous hidden semi-Markov models for toroidal data
Applications
2023-12-25 v1 Methodology
Abstract
A nonhomogeneous hidden semi-Markov model is proposed to segment toroidal time series according to a finite number of latent regimes and, simultaneously, estimate the influence of time-varying covariates on the process' survival under each regime. The model is a mixture of toroidal densities, whose parameters depend on the evolution of a semi-Markov chain, which is in turn modulated by time-varying covariates through a proportional hazards assumption. Parameter estimates are obtained using an EM algorithm that relies on an efficient augmentation of the latent process. The proposal is illustrated on a time series of wind and wave directions recorded during winter.
Cite
@article{arxiv.2312.14719,
title = {Nonhomogeneous hidden semi-Markov models for toroidal data},
author = {Francesco Lagona and Marco Mingione},
journal= {arXiv preprint arXiv:2312.14719},
year = {2023}
}