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lindermanlab / ssm

Bayesian learning and inference for state space models
MIT License
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Add Hidden Semi Markov Model (HSMM) with negative binomial observations #22

Closed slinderman closed 5 years ago

slinderman commented 5 years ago

Semi-Markov models explicitly model the duration distribution over time spent in each discrete state. This introduces a non-Markovian dependency, but it's not arbitrarily complex. We can include semi-Markov models by extending the state space of the HMM. This can be done efficiently for certain classes of duration distributions, like the negative binomial distribution with an integer shape parameter. See Matt Johnson's thesis, for example.

slinderman commented 5 years ago

I have a basic implementation working here https://github.com/slinderman/ssm/tree/hsmm

slinderman commented 5 years ago

Added in https://github.com/slinderman/ssm/pull/24