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目次

Survey of ModelsA Survey of Models for Discrete-Valued Time SeriesIntroduction: The Need for Discrete-Valued Time Series ModelsMarkov ChainsHigher-Order Markov ChainsThe DARMA models of Jacobs and LewisModels Based on ThinningThe Bivariate Geometric Models of Block, Langberg, and StofferMarkov Regression ModelsParameter-Driven ModelsState-Spaced ModelsMiscellaneous ModelsDiscussion Hidden Markov ModelsThe Basic ModelsIntroductionSome Theoretical Aspects of Hidden Markov Models in Speech ProcessingHidden Markov Time Series Models: Definition and NotationCorrelation PropertiesEvaluation of the Likelihood FunctionDistributional PropertiesParameter EstimationIdentification of OutliersReversibilityDiscussion Extensions and ModificationsIntroduction Models Based on a Second-Order Markov ChainMultinomial-Hidden Markov ModelsMultivariate ModelsModels with State-Dependent Probabilities Depending on CovariatesModels in Which the Markov Chain Is Homogeneous but Not Assumed StationaryModels in Which the Markov Chain Is Nonhomogeneous Joint Models for the Numbers of Trials and the Numbers of Successes in Those TrialsDiscussion ApplicationsIntroductionThe Durations of Successive Eruptions of the Old Faithful GeyserEpileptic Seizure CountsBirths at Edendale HospitalLocomotory Behaviour of Locusta migratoriaWind Direction at KoebergEvapotranspirationThinly Traded Shares on the Johannesburt Stock ExchangeDaily Rainfall at DurbanHomicides and Suicides, Cape Town, 1986-1991ConclusionAppendices A : Proofs of Results Used in the Derivation of the Baum-Welch AlgorithmB: Data