HMMR
User-freindly and flexible model anf algorithm for time series segmentation with a Regression model with a Hidden Markov Model Regression (HMMR).
Hidden Markov Model Regression (HMMR) for segmentation of time series with regime changes. The model assumes that the time series is governed by a sequence of hidden discrete regimes/states, where each regime/state has Gaussian regressors as observations. The model parameters are estimated by MLE via the EM algorithm
Faicel Chamroukhi
Please cite the following papers for this code:
@article{Chamroukhi-FDA-2018,
Journal = {Wiley Interdisciplinary Reviews: Data Mining and Knowledge Discovery},
Author = {Faicel Chamroukhi and Hien D. Nguyen},
Note = {DOI: 10.1002/widm.1298.},
Volume = {},
Title = {Model-Based Clustering and Classification of Functional Data},
Year = {2019},
Month = {to appear},
url = {https://chamroukhi.com/papers/MBCC-FDA.pdf}
}
@InProceedings{Chamroukhi-IJCNN-2011,
author = {F. Chamroukhi and A. Sam\'e and P. Aknin and G. Govaert},
title = {Model-based clustering with Hidden Markov Model regression for time series with regime changes},
Booktitle = {Proceedings of the International Joint Conference on Neural Networks (IJCNN), IEEE},
Pages = {2814--2821},
Adress = {San Jose, California, USA},
year = {2011},
month = {Jul-Aug},
url = {https://chamroukhi.com/papers/Chamroukhi-ijcnn-2011.pdf}
}
@INPROCEEDINGS{Chamroukhi-IJCNN-2009,
AUTHOR = {Chamroukhi, F. and Sam\'e, A. and Govaert, G. and Aknin, P.},
TITLE = {A regression model with a hidden logistic process for feature extraction from time series},
BOOKTITLE = {International Joint Conference on Neural Networks (IJCNN)},
YEAR = {2009},
month = {June},
pages = {489--496},
Address = {Atlanta, GA},
url = {https://chamroukhi.com/papers/chamroukhi_ijcnn2009.pdf}
}
@article{chamroukhi_et_al_NN2009,
Address = {Oxford, UK, UK},
Author = {Chamroukhi, F. and Sam\'{e}, A. and Govaert, G. and Aknin, P.},
Date-Added = {2014-10-22 20:08:41 +0000},
Date-Modified = {2014-10-22 20:08:41 +0000},
Journal = {Neural Networks},
Number = {5-6},
Pages = {593--602},
Publisher = {Elsevier Science Ltd.},
Title = {Time series modeling by a regression approach based on a latent process},
Volume = {22},
Year = {2009},
url = {https://chamroukhi.com/papers/Chamroukhi_Neural_Networks_2009.pdf}
}
Faicel Chamroukhi Septembre 2008.