Bayesian clustering for continuous‐time hidden Markov models

We develop clustering procedures for longitudinal trajectories based on a continuous‐time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically, in this article we carry out finite and infinite mixture model‐based clustering for a CTHMM and achieve inference using Markov chain Monte Carlo (MCMC). For a finite mixture model with a prior on the number of components, we implement reversible‐jump MCMC to facilitate the trans‐dimensional move between models with different numbers of clusters. For a Dirichlet process mixture model, we utilize restricted Gibbs sampling split–merge proposals to improve the performance of the MCMC algorithm. We apply our proposed algorithms to simulated data as well as a real‐data example, and the results demonstrate the desired performance of the new sampler.