This paper develops a method to efficiently estimate hidden Markov models with continuous latent variables using maximum likelihood estimation. To evaluate the (marginal) likelihood function, I ...

Finite mixture models and hidden Markov models (HMMs) occupy central roles in modern statistical inference and data analysis. Finite mixture models assume that data originate from a latent combination ...

Continuous-time multistate models are widely used for categorical response data, particularly in the modeling of chronic diseases. However, inference is difficult when the process is only observed at ...