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• W2885802809 abstract "Summary While the literature on multivariate models for continuous data flourishes, there is a lack of models for multivariate counts. We aim to contribute to this framework by extending the well known class of univariate hidden Markov models to the multidimensional case, by introducing multivariate Poisson hidden Markov models. Each state of the extended model is associated with a different multivariate discrete distribution. We consider different distributions with Poisson marginals, starting from the multivariate Poisson distribution and then extending to copula based distributions to allow flexible dependence structures. An EM type algorithm is developed for maximum likelihood estimation. A real data application is presented to illustrate the usefulness of the proposed models. In particular, we apply the models to the occurrence of strong earthquakes (surface wave magnitude ≥5), in three seismogenic subregions in the broad region of the North Aegean Sea for the time period from 1 January 1981 to 31 December 2008. Earthquakes occurring in one subregion may trigger events in adjacent ones and hence the observed time series of events are cross‐correlated. It is evident from the results that the three subregions interact with each other at times differing by up to a few months. This migration of seismic activity is captured by the model as a transition to a state of higher seismicity." @default.
• W2885802809 created "2018-08-22" @default.
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• W2885802809 date "2018-08-11" @default.
• W2885802809 modified "2023-09-26" @default.
• W2885802809 title "Multivariate Poisson hidden Markov models with a case study of modelling seismicity" @default.
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• W2885802809 doi "https://doi.org/10.1111/anzs.12242" @default.
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