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arXiv · 1906.10252

Bayesian Clustering for Continuous-Time Hidden Markov Models

Yu Luo·David A. Stephens·David L. Buckeridge
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Abstract

We develop clustering procedures for longitudinal trajectories based on a continuous-time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically in this paper, we carry out finite and infinite mixture model-based clustering for a CTHMM and achieve inference using Markov chain Monte Carlo (MCMC). For a finite mixture model with prior on the number of components, we implement reversible-jump MCMC to facilitate the trans-dimensional move between different number of clusters. For a Dirichlet process mixture model, we utilize restricted Gibbs sampling split-merge proposals to expedite the MCMC algorithm. We employ proposed algorithms to the simulated data as well as a real data example, and the results demonstrate the desired performance of the new sampler.

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Yu Luo, David A. Stephens, David L. Buckeridge. 2021-03-26. Bayesian Clustering for Continuous-Time Hidden Markov Models. https://doi.org/10.1002/cjs.11671

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