The adjusted Viterbi training for hidden Markov models (Q1002581): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 02:52, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The adjusted Viterbi training for hidden Markov models |
scientific article |
Statements
The adjusted Viterbi training for hidden Markov models (English)
0 references
2 March 2009
0 references
The problem of effective parameter estimation of hidden Markov model \((X_n,Y_n)\), \(n=1,2,\dots\) is considered. Here \(Y_n\), \(n=1,2,\dots\) is unobservable time-homogeneous Markov chain with state space \(S=(1,\dots,K)\), transition matrix \(\mathbb{P}=(p_{ij})_{i,j \in S}\) and initial distribution \(\pi=\pi \mathbb{P}\). When \(Y_n\) is in state \(l\in S\) an observation \(x_n\) on \(X_n \in \mathbb{R}^D\) is emitted with distribution density \(f(x|\theta_l)\) which is known up to parametrization \(\theta_l \in \Theta \subseteq \mathbb{R}^d\) and independent of anything else. Given observations \(x_1,x_2,\dots,x_n\), the problem is to estimate the matrix \(\mathbb{P}\) and parameters \(\theta_1,\dots,\theta_K\). The principle tool is the EM procedure. Applications often use less computationally intensive Viterbi training procedure but it is biased and does not satisfy fixed point property (being initialized to the true parameters it can move away from initial points). In the article adjusted Viterbi training, a new method to restore the fixed point property is proposed. The advantages of this improved method are investigated analytically and by simulations.
0 references
Baum-Welch
0 references
bias
0 references
computational efficiency
0 references
consistency
0 references
EM
0 references
hidden Markov models
0 references
maximum likelihood
0 references
parameter estimation
0 references
Viterbi extraction
0 references
Viterbi training
0 references