Markov chains provide a fundamental framework for modelling stochastic processes, where the next state depends solely on the current state. Hidden Markov models (HMMs) extend this framework by ...

C. Bracken, B. Rajagopalan, & E. Zagona (2014). “A Hidden Markov Model Combined with Climate Indices for Multi-decadal Streamflow Simulation,” Water Resources Research, 50, 7836-7846. Abstract: ...

We study Markov regime-switching Gaussian autoregressive models that capture temporal heterogeneity exhibited by time series data. Constructing a Markov regime-switching model requires making several ...