Switching State-Space Models

  title={Switching State-Space Models},
  author={Elanor C. Hinton},
We introduce a statistical model for times series data with nonlinear dynamics which iteratively segments the data into regimes with approximately linear dynamics and learns the parameters of each of those regimes. This model combines and generalizes two of the most widely used stochastic time series models|the hidden Markov model and the linear dynamical system|and is related to models that are widely used in the control and econometrics literatures. It can also be derived by extending the… CONTINUE READING
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