Hidden Markov models for circular and linear-circular time series

We introduce a new class of circular time series based on hidden Markov models. These are compared with existing models, their properties are outlined and issues relating to parameter estimation are discussed. The new models conveniently describe multi-modal circular time series as dependent mixtures of circular distributions. Two examples from biology and meteorology are used to illustrate the theory. Finally, we introduce a hidden Markov model for bivariate linear-circular time series and use it to describe larval movement of the fly Drosophila. Received: September 2003 / Revised: March 2004