Nam, Christopher; Aston, John; Johansen, Adam - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 553-575
The majority of modelling and inference regarding Hidden Markov Models (HMMs) assumes that the number of underlying states is known a priori. However, this is often not the case and thus determining the appropriate number of underlying states for a HMM is of considerable interest. This paper...
