On approximation of smoothing probabilities for hidden Markov models

DOI10.1016/J.SPL.2010.10.019MaRDI QIDQ625025zbMATH OpenOpenAlexFDO

Authors J. Lember

Publication date 11 February 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.4636

zbMATH Keywords

hidden Markov modelssegmentationsmoothing

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inference from stochastic processes (62M99)

Abstract: We consider the smoothing probabilities of hidden Markov model (HMM). We show that under fairly general conditions for HMM, the exponential forgetting still holds, and the smoothing probabilities can be well approximated with the ones of double sided HMM. This makes it possible to use ergodic theorems. As an applications we consider the pointwise maximum a posteriori segmentation, and show that the corresponding risks converge.

Recommendations

• Sequential Monte Carlo smoothing for general state space hidden Markov models
• Exponential forgetting of smoothing distributions for pairwise Markov models
• scientific article; zbMATH DE number 2144803
• Forgetting the initial distribution for hidden Markov models
• Propriétés asymptotiques de l'estimateur de maximum de vraisemblance pour des modèles de Markov cachés généraux

Cites work

• A Constructive Proof of the Existence of Viterbi Processes
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Asymptotic risks of Viterbi segmentation
• Biological Sequence Analysis
• Exponential forgetting and geometric ergodicity in hidden Markov models
• Hidden Markov models for bioinformatics
• Hidden Markov processes
• Identification of hidden Markov models -- uniform LLN-s
• Inference in hidden Markov models.
• Multiresolution image classification by hierarchical modeling with two-dimensional hidden Markov models
• Properties of the maximum a posteriori path estimator in hidden Markov models
• The adjusted Viterbi training for hidden Markov models

Cited in

(16)

• Forgetting the initial distribution for hidden Markov models
• Exponential forgetting of smoothing distributions for pairwise Markov models
• Regenerativity of Viterbi process for pairwise Markov models
• Existence of infinite Viterbi path for pairwise Markov models
• Approximating a diffusion by a finite-state hidden Markov model
• Recursive smoothers for hidden discrete-time Markov chains
• Exponential stability of filters and smoothers for hidden Markov models
• On the accuracy of the MAP inference in HMMs
• Asymptotic risks of Viterbi segmentation
• Generalized adaptive exponential smoothing of observations from an ergodic hidden Markov model
• On Large Lag Smoothing for Hidden Markov Models
• Consistent Estimation of the Filtering and Marginal Smoothing Distributions in Nonparametric Hidden Markov Models
• Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
• Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
• A correction to ``On approximation of smoothing probabilities for hidden Markov models
• Approximation of stationary processes by hidden Markov models

This page was built for publication: On approximation of smoothing probabilities for hidden Markov models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625025)