Medical Biomathematics and Biometrics Commons^™

Nonparametric Inference In Hidden Markov Models Using P-Splines, Roland Langrock, Thomas Kneib, Alexander Sohn, Stacy L. Deruiter

University Faculty Publications and Creative Works

Hidden Markov models (HMMs) are flexible time series models in which the distribution of the observations depends on unobserved serially correlated states. The state-dependent distributions in HMMs are usually taken from some class of parametrically specified distributions. The choice of this class can be difficult, and an unfortunate choice can have serious consequences for example on state estimates, and more generally on the resulting model complexity and interpretation. We demonstrate these practical issues in a real data application concerned with vertical speeds of a diving beaked whale, where we demonstrate that parametric approaches can easily lead to overly complex state …