About the Book
Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses.
After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations.
The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations.
Features
Presents an accessible overview of HMMs
Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology
Includes numerous theoretical and programming exercises
Provides most of the analysed data sets online
New to the second edition
A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process
New case studies on animal movement, rainfall occurrence and capture-recapture data
Table of Contents:
Model structure, properties and methods, Preliminaries: mixtures and Markov chains, Hidden Markov models: definition and properties, Direct maximization of the likelihood, Estimation by the EM algorithm, Forecasting, decoding and state prediction, Model selection and checking, Bayesian inference for Poisson-HMMs, R packages, Extensions, Covariates and other extra dependencies, Continuous-valued state processes, Hidden semi-Markov models as HMMs, HMMs for longitudinal data, Applications , Epileptic seizures, Daily rainfall occurrence, Eruptions of the Old Faithful geyser, HMMs for animal movement, Wind direction at Koeberg, Models for financial series, Births at Edendale Hospital, Homicides and suicides in Cape Town, Animal behaviour model with feedback, Survival rates of Soay sheep, Examples of R code, The functions, Examples of code using the above functions, Some proofs Factorization needed for forward probabilities, Two results for backward probabilities, Conditional independence of Xt1 and XTt+1, References
About the Author :
Walter Zucchini, Iain K. MacDonald, Roland Langrock
Review :
"This book is an excellent resource for researchers of all levels, from undergraduate students to researchers already working with hidden Markov models. The book initially provides the mathematical theory and underlying intuition of hidden Markov models in a clear and concise manner before describing more advanced, recently developed techniques and a wide range of applications using real data. One focus of the book is the practical application of hidden Markov models. R code is usefully provided throughout the text (and combined within the appendix) aiding researchers in applying the techniques to their own problems, in addition to the description of some specific R packages. Thus the book is a valuable resource for both researchers new to hidden Markov models and as a reference for individuals already familiar with the models and concepts. In particular, the inclusion of the new Part II ("Extensions") for the second edition relating to the recent advanced techniques is an excellent addition, providing a clear description of state-of-the-art hidden Markov-type models and associated issues. Overall, the book is exceptionally well written and will be a well thumbed book in my collection."
—Ruth King, Thomas Bayes' Chair of Statistics, University of Edinburgh
"…this is far and away the most accessible, up-to-date, and comprehensive introductory text on HMMs that there is, for students, applied statisticians, and indeed any quantitatively able researcher. It doubles as an excellent reference text for researchers who use HMMs. The addition of new R code and illustration of the use of HMM packages in R makes the text all the more useful, and the new chapters on applications in ecology and the environment will extend the appeal of the book into an area in which the huge potential of HMMs has only recently become apparent. If you want to find out about and use HMMs, ranging from the simplest to those at the cutting-edge research, this is the book for you!"
—David Borchers, Professor of Statistics, University of St Andrews
"The authoritative text on HMMs has become even better. This second edition is welcome and timely, filled with many examples of HMMs in the real world, and very useful snippets of code to help us get going. The authors have once again hit the jackpot."
—Trevor Hastie, Statistics Department, Stanford University
"The first edition of ‘Hidden Markov Models for Time Series: An Introduction using R’ was the clearest and most comprehensive description of the theory and applications of HMMs in print. This new second edition from Zucchini et al contains a highly useful update to the already impressive body of material covered in the first edition. New additions include chapters on Hidden Semi-Markov Models, continuous-valued state processes, and new application sections detailing the use of HMMs for animal movement and survival estimation. The R code provided outlines key computational procedures and provides a workable foundation upon which researchers can build their own bespoke implementations of HMMs and understand the working of other software packages, which are now considered in detail. This book is structured in an accessible, yet thorough, manner which will be appreciated by statistically literate researchers and students from a variety of disciplines. This book is highly recommended for anyone wishing to understand or use Hidden Markov models."
—Dr. Toby Patterson, Senior Research Scientist, CSIRO Oceans and Atmosphere
"The first edition profoundly influenced my research and this new edition adds substantial material on R packages, hidden semi-Markov models and more. The book is a must have for any applied statistician interested in modeling incomplete encounter history or movement data for animals. The simplicity and generality of hidden Markov models make them an elegant solution for many applications and an essential method to have in an applied statistician's toolbox."
—Prof. Jeff Laake, Marine Mammal Laboratory, Alaska Fisheries Science Center, Seattle
"This book is an essential for all researchers in the area of hidden Markov models and indeed, more generally, in the broad arena of statistical modelling. The theory underpinning hidden Markov models (HMMs) is meticulously delineated and perfectly complemented by a broad range of applications chosen from real-world settings in, for example, finance, zoology and the health sciences.
This second edition of the book now includes particularly valuable chapters on recent extensions to HMMs and intriguing new applications in ecology and the environment. Fragments of R code are provided throughout the text and in the Appendix and serve to fix ideas relating to both theory and practice. In summary, the book is a most welcome addition to the statistician's armoury and can be used both as a comprehensive reference work and as a well-crafted textbook."
—Linda Haines, Emeritus Professor, Department of Statistical Sciences, University of Cape Town.
"This book is an excellent resource for researchers of all levels, from undergraduate students to researchers already working with hidden Markov models. The book initially provides the mathematical theory and underlying intuition of hidden Markov models in a clear and concise manner before describing more advanced, recently developed techniques and a wide range of applications using real data. One focus of the book is the practical application of hidden Markov models. R code is usefully provided throughout the text (and combined within the appendix) aiding researchers in applying the techniques to their own problems, in addition to the description of some specific R packages. Thus the book is a valuable resource for both researchers new to hidden Markov models and as a reference for individuals already familiar with the models and concepts. In particular, the inclusion of the new Part II ("Extensions") for the second edition relating to the recent advanced techniques is an excellent addition, providing a clear description of state-of-the-art hidden Markov-type models and associated issues. Overall, the book is exceptionally well written and will be a well thumbed book in my collection."
—Ruth King, Thomas Bayes' Chair of Statistics, University of Edinburgh
"…this is far and away the most accessible, up-to-date, and comprehensive introductory text on HMMs that there is, for students, applied statisticians, and indeed any quantitatively able researcher. It doubles as an excellent reference text for researchers who use HMMs. The addition of new R code and illustration of the use of HMM packages in R makes the text all the more useful, and the new chapters on applications in ecology and the environment will extend the appeal of the book into an area in which the huge potential of HMMs has only recently become apparent. If you want to find out about and use HMMs, ranging from the simplest to those at the cutting-edge research, this is the book for you!"
—David Borchers, Professor of Statistics, University of St Andrews
"The authoritative text on HMMs has become even better. This second edition is welcome and timely, filled with many examples of HMMs in the real world, and very useful snippets of code to help us get going. The authors have once again hit the jackpot."
—Trevor Hastie, Statistics Department, Stanford University
"The first edition of ‘Hidden Markov Models for Time Series: An Introduction using R’ was the clearest and most comprehensive description of the theory and applications of HMMs in print. This new second edition from Zucchini et al contains a highly useful update to the already impressive body of material covered in the first edition. New additions include chapters on Hidden Semi-Markov Models, continuous-valued state processes, and new application sections detailing the use of HMMs for animal movement and survival estimation. The R code provided outlines key computational procedures and provides a workable foundation upon which researchers can build their own bespoke implementations of HMMs and understand the working of other software packages, which are now considered in detail. This book is structured in an accessible, yet thorough, manner which will be appreciated by statistically literate researchers and students from a variety of disciplines. This book is highly recommended for anyone wishing to understand or use Hidden Markov models."
—Dr. Toby Patterson, Senior Research Scientist, CSIRO Oceans and Atmosphere
"The first edition profoundly influenced my research and this new edition adds substantial material on R packages, hidden semi-Markov models and more. The book is a must have for any applied statistician interested in modeling incomplete encounter history or movement data for animals. The simplicity and generality of hidden Markov models make them an elegant solution for many applications and an essential method to have in an applied statistician's toolbox."
—Prof. Jeff Laake, Marine Mammal Laboratory, Alaska Fisheries Science Center, Seattle
"This book is an essential for all researchers in the area of hidden Markov models and indeed, more generally, in the broad arena of statistical modelling. The theory underpinning hidden Markov models (HMMs) is meticulously delineated and perfectly complemented by a broad range of applications chosen from real-world settings in, for example, finance, zoology and the health sciences.
This second edition of the book now includes particularly valuable chapters on recent extensions to HMMs and intriguing new applications in ecology and the environment. Fragments of R code are provided throughout the text and in the Appendix and serve to fix ideas relating to both theory and practice. In summary, the book is a most welcome addition to the statistician's armoury and can be used both as a comprehensive reference work and as a well-crafted textbook."
—Linda Haines, Emeritus Professor, Department of Statistical Sciences, University of Cape Town.
