Sticky HDP-HMM for Prediction of Economic Events

  title={Sticky HDP-HMM for Prediction of Economic Events},
  author={Jacob Mathew and David Allen},
This research seeks to generate temporal event predictions using the sticky Hierarchical Dirichlet Process Hidden Markov Model (sticky HDP-HMM) [2], a generalization of the infinite HMM [1]. Hidden Markov Models (HMMs) are one of the most widely used machine learning techniques for analyzing temporal data. One significant limitation of this traditional approach is that the number of states in the HMM, N , has to be decided a priori, but for a number of applications it is not possible to… CONTINUE READING