A primer on coupled state-switching models for multiple interacting time series

Pohle JM, Langrock R, Schaar M van der, King R, Jensen FH (2020)
Statistical Modelling: 1471082X2095642.

Zeitschriftenaufsatz | E-Veröff. vor dem Druck | Englisch
 
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Autor*in
Pohle, Jennifer MarieUniBi; Langrock, RolandUniBi; Schaar, Mihaela van der; King, Ruth; Jensen, Frants Havmand
Abstract / Bemerkung
State-switching models such as hidden Markov models or Markov-switching regression models are routinely applied to analyse sequences of observations that are driven by underlying non-observable states. Coupled state-switching models extend these approaches to address the case of multiple observation sequences whose underlying state variables interact. In this article, we provide an overview of the modelling techniques related to coupling in state-switching models, thereby forming a rich and flexible statistical framework particularly useful for modelling correlated time series. Simulation experiments demonstrate the relevance of being able to account for an asynchronous evolution as well as interactions between the underlying latent processes. The models are further illustrated using two case studies related to (a) interactions between a dolphin mother and her calf as inferred from movement data and (b) electronic health record data collected on 696 patients within an intensive care unit.
Stichworte
Statistics; Probability and Uncertainty; Statistics and Probability
Erscheinungsjahr
2020
Zeitschriftentitel
Statistical Modelling
Art.-Nr.
1471082X2095642
ISSN
1471-082X
eISSN
1477-0342
Page URI
https://pub.uni-bielefeld.de/record/2946671

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Pohle JM, Langrock R, Schaar M van der, King R, Jensen FH. A primer on coupled state-switching models for multiple interacting time series. Statistical Modelling. 2020: 1471082X2095642.
Pohle, J. M., Langrock, R., Schaar, M. van der, King, R., & Jensen, F. H. (2020). A primer on coupled state-switching models for multiple interacting time series. Statistical Modelling, 1471082X2095642. doi:10.1177/1471082x20956423
Pohle, J. M., Langrock, R., Schaar, M. van der, King, R., and Jensen, F. H. (2020). A primer on coupled state-switching models for multiple interacting time series. Statistical Modelling:1471082X2095642.
Pohle, J.M., et al., 2020. A primer on coupled state-switching models for multiple interacting time series. Statistical Modelling, : 1471082X2095642.
J.M. Pohle, et al., “A primer on coupled state-switching models for multiple interacting time series”, Statistical Modelling, 2020, : 1471082X2095642.
Pohle, J.M., Langrock, R., Schaar, M. van der, King, R., Jensen, F.H.: A primer on coupled state-switching models for multiple interacting time series. Statistical Modelling. : 1471082X2095642 (2020).
Pohle, Jennifer Marie, Langrock, Roland, Schaar, Mihaela van der, King, Ruth, and Jensen, Frants Havmand. “A primer on coupled state-switching models for multiple interacting time series”. Statistical Modelling (2020): 1471082X2095642.

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