Moving average filtering with deconvolution (MAD) for hidden Markov model with filtering and correlated noise

2019 ◽  
Vol 48 (4) ◽  
pp. 383-393
Author(s):  
Ibrahim M. Almanjahie ◽  
Ramzan Nazim Khan ◽  
Robin K. Milne ◽  
Takeshi Nomura ◽  
Boris Martinac
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Moving Average ◽  
Correlated Noise

Application of Enhanced Hidden Markov Model in Stock Price Prediction

2020 ◽  
Vol 3 (1) ◽  
pp. 70-78
Author(s):  
Donata D. Acula ◽  
Teofilo De Guzman
Keyword(s):  
Neural Networks ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Stock Price ◽  
Hidden Markov ◽  
Moving Average ◽  
High Price ◽  
Percentage Error ◽  
Autoregressive Integrated Moving Average ◽  
Stock Price Prediction

The main focus of this research is the enhancement of the Hidden Markov Model by using some features of Neural Networks and the forecasted values of predictors by Seasonal Autoregressive Integrated Moving Average. The enhanced method was used to predict the close price of stocks whose predictors are open price, high price, low price, and volume of Apple and Nokia data. The performance of the method was measured using the Mean Absolute Percentage Error of the predicted price. The result was compared against the actual close price by using the paired T-test. The testing of the hypothesis showed that the Enhanced Hidden Markov Model obtained more than 94% accuracy rate. It also shows that in Apple data, the predicted close price of the Enhanced Hidden Markov Model is significantly better than the predicted close price of Neural Networks. Using Nokia data, the test claims that there is no difference between the performance of Enhanced Hidden Markov Model and Neural Network in prediction. 

scholarly journals Stochastic simulation of daily streamflow sequences using a hidden Markov model

2015 ◽  
Vol 47 (1) ◽  
pp. 75-88 ◽  
Author(s):  
Douglas Pender ◽  
Sandhya Patidar ◽  
Gareth Pender ◽  
Heather Haynes
Keyword(s):  
Time Series ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Stochastic Simulation ◽  
Hidden Markov ◽  
Moving Average ◽  
Arma Model ◽  
Stochastic Modelling ◽  
Transport Modelling ◽  
Daily Streamflow

Estimation of daily streamflow time series is of paramount importance for the design and implementation of river engineering and management projects (e.g., restoration, sediment-transport modelling, hydropower). Traditionally, indirect approaches combining stochastic simulation of rainfall with hydrological rainfall–runoff models are used. However, these are limited by uncertainties in model calibration and computational expense. Thus, this paper demonstrates an alternative, direct approach, for stochastic modelling of daily streamflow data, specifically seeking to address well-known deficiencies in model capability to capture extreme flow events in the simulated time series. Combinations of a hidden Markov model (HMM) with the generalised extreme value (HMM-GEV) and generalised Pareto (HMM-GP) distributions were tested for four hydrologically contrasting catchments in the UK (Rivers Dee, Falloch, Caldew and Lud), with results compared to recorded flow data and estimations obtained from a simpler autoregressive-moving-average (ARMA) model. Results show that the HMM-GP method is superior in performance over alternative approaches (relative mean absolute differences (RMAD) of <2% across all catchments), appropriately captures extreme events and is generically applicable across a range of hydrological regimes. In contrast, the ARMA model was unable to capture the flow regime successfully (average RMAD of 14% across all catchments).

Auscultating Diagnosis for Hemodialysis Shunt Stenosis using a Self-Organizing Map and Hidden Markov Model

2012 ◽  
Vol 132 (10) ◽  
pp. 1589-1594 ◽  
Author(s):  
Hayato Waki ◽  
Yutaka Suzuki ◽  
Osamu Sakata ◽  
Mizuya Fukasawa ◽  
Hatsuhiro Kato
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Self Organizing Map ◽  
Self Organizing

Engaging Voluntary Contributions in Online Communities: A Hidden Markov Model

MIS Quarterly ◽  
2018 ◽  
Vol 42 (1) ◽  
pp. 83-100 ◽  
Author(s):  
Wei Chen ◽  
◽  
Xiahua Wei ◽  
Kevin Xiaoguo Zhu ◽  
◽  
...  
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Online Communities ◽  
Hidden Markov ◽  
Voluntary Contributions
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