Scholarlink

<p>We introduce a set of constraints on the multinomial logit (sub)model for the transition probabilities of Markov chain and Hidden Markov models with covariates. These constraints have a straightforward interpretation and make the model more parsimonious with respect to the standard formulation. Estimation based on the maximum likelihood approach is developed under different constraints. The proposal is validated by a series of simulations and illustrated by an application about the evaluation of differences in general self-assessed health according to the available covariates, using longitudinal data from the Health and Retirement Study.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Parsimonious parametrizations of transition matrices of Markov chain and hidden Markov models

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年3月18日

查看全文
  • Francesco Bartolucci,
  • Silvia Pandolfi,
  • Fulvia Pennoni

摘要

We introduce a set of constraints on the multinomial logit (sub)model for the transition probabilities of Markov chain and Hidden Markov models with covariates. These constraints have a straightforward interpretation and make the model more parsimonious with respect to the standard formulation. Estimation based on the maximum likelihood approach is developed under different constraints. The proposal is validated by a series of simulations and illustrated by an application about the evaluation of differences in general self-assessed health according to the available covariates, using longitudinal data from the Health and Retirement Study.