Hidden Markov models (HMMs) are a formal foundation for making probabilistic models of linear sequence 'labeling' problems 1,2. They provide a conceptual toolkit for building complex models just ...

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: ...

In this talk I consider sequential Monte Carlo (SMC) methods for hidden Markov models. In the scenario for which the conditional density of the observations given the latent state is intractable ...