High-order extensions of the Double Chain Markov Model (Q3147435)
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scientific article; zbMATH DE number 1803004
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| English | High-order extensions of the Double Chain Markov Model |
scientific article; zbMATH DE number 1803004 |
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High-order extensions of the Double Chain Markov Model (English)
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12 November 2002
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double chain Markov model
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mixture transition distribution model
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forward-backward algorithm
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Baum-Welch algorithm
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Viterbi algorithm
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0.827202320098877
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0.8272018432617188
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0.7791222333908081
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0.7772995233535767
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0.774764895439148
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Let \(\{Y_t\}\) be a non-homogeneous \(f\)-order Markov chain taking values in the set \(\{1,\dots,K\}\). The matrix of transition probabilities at time \(t\) depends on an unobservable variable \(X_t\) where \(\{X_t\}\) is an \(l\)-order Markov chain with the set of states \(\{1,\dots,M\}\). This double chain Markov model (DCMM) can represent time series in a random environment. Since the DCMM has many parameters, their number can be considerably reduced using a mixture transition distribution model. The estimation of parameters is based on an EM algorithm. The optimal sequence of states is computed via Viterbi algorithm. The model is applied to an analysis of a sequence of DNA, to the song of the wood pewee and to the behavior of young monkeys. The author introduces a www address where a software called MARCH for the computation of DCMM is freely available.
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