HMM Procedure
References
Cappé, O., Moulines, E., and Rydén, T. (2010). Inference in Hidden Markov Models. New York: Springer.
Cave, R. L., and Neuwirth, L. P. (1980). “Hidden Markov Models for English.” In Hidden Markov Models for Speech, edited by J. D. Ferguson, 16–57. Princeton, NJ: Institute for Defense Analysis.
Center for Research in Security Prices (2018). “CRSP NYSE/NYSEMKT/Nasdaq/Arca Value-Weighted Market Index.” CRSP, University of Chicago Booth School of Business.
Frühwirth-Schnatter, S. (2006). Finite Mixture and Markov Switching Models. New York: Springer.
Ghassempour, S., Girosi, F., and Maeder, A. (2014). “Clustering Multivariate Time Series Using Hidden Markov Models.” International Journal of Environmental Research and Public Health 11:2741–2763. https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3968966/.
Hamilton, J. D. (1989). “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica 57:357–384.
Jurafsky, D., and Martin, J. H. (2019). Speech and Language Processing: An Introduction to Natural Language Processing, Computational Linguistics, and Speech Recognition. Third edition, available as unpublished draft at https://web.stanford.edu/~jurafsky/slp3/ed3book.pdf.
Krolzig, H.-M. (1997). Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis. Berlin: Springer.
Kuester, K., Mittnik, S., and Paolella, M. S. (2006). “Value-at-Risk Prediction: A Comparison of Alternative Strategies.” Journal of Financial Econometrics 4:53–89.
Liao, T. W. (2005). “Clustering of Time Series Data—a Survey.” Pattern Recognition 38:1857–1874.
Oates, T., Firoiu, L., and Cohen, P. R. (1999). “Clustering Time Series with Hidden Markov Models and Dynamic Time Warping.” In Proceedings of the IJCAI-99 Workshop on Neural, Symbolic, and Reinforcement Learning Methods for Sequence Learning, 17–21.
Rabiner, L. R. (1989). “A Tutorial on Hidden Markov Models and Selected Applications in Speech Recognition.” Proceedings of the IEEE 77:257–286.
Rani, S., and Sikka, G. (2012). “Recent Techniques of Clustering of Time Series Data: A Survey.” International Journal of Computer Applications 52:1–9.
Smyth, P. (1997). “Clustering Sequences with Hidden Markov Models.” In Advances in Neural Information Processing Systems 9 (NIPS 1996), edited by M. C. Mozer, T. Petsche, and M. I. Jordan, 648–654. Cambridge, MA: MIT Press.
Sung, H. G. (2004). “Gaussian Mixture Regression and Classification.” Ph.D. diss., Rice University.