Mixed hidden Markov models: An extension of the hidden Markov model to the longitudinal data setting

Hidden Markov models (HMMs) are a useful tool for capturing the behavior of overdispersed, autocorrelated data. These models have been applied to many different problems, including speech recognition, precipitation modeling, and gene finding and profiling. Typically, HMMs are applied to individual stochastic processes; HMMs for simultaneously modeling multiple processes-as in the longitudinal data setting-have not been widely studied. In this article I present a new class of models, mixed HMMs (MHMMs), where I use both covariates and random effects to capture differences among processes. I define the models using the framework of generalized linear mixed models and discuss their interpretation. I then provide algorithms for parameter estimation and illustrate the properties of the estimators via a simulation study. Finally, to demonstrate the practical uses of MHMMs, I provide an application to data on lesion counts in multiple sclerosis patients. I show that my model, while parsimonious, can describe the heterogeneity among such patients.