Regenerativity of Viterbi process for pairwise Markov models

DOI10.1007/S10959-020-01022-ZMaRDI QIDQ2224946zbMATH OpenOpenAlexFDO

Authors J. Lember, Joonas Sova

Publication date 4 February 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.11821

zbMATH Keywords

Viterbi algorithmhidden Markov modelMarkov switching modelViterbi trainingMAP pathViterbi path

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov processes: hypothesis testing (62M02) Signal detection and filtering (aspects of stochastic processes) (60G35) Foundations of stochastic processes (60G05)

Abstract: For hidden Markov models one of the most popular estimates of the hidden chain is the Viterbi path -- the path maximising the posterior probability. We consider a more general setting, called the pairwise Markov model (PMM), where the joint process consisting of finite-state hidden process and observation process is assumed to be a Markov chain. It has been recently proven that under some conditions the Viterbi path of the PMM can almost surely be extended to infinity, thereby defining the infinite Viterbi decoding of the observation sequence, called the Viterbi process. This was done by constructing a block of observations, called a barrier, which ensures that the Viterbi path goes trough a given state whenever this block occurs in the observation sequence. In this paper we prove that the joint process consisting of Viterbi process and PMM is regenerative. The proof involves a delicate construction of regeneration times which coincide with the occurrences of barriers. As one possible application of our theory, some results on the asymptotics of the Viterbi training algorithm are derived.

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Cited in

(8)

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• Viterbi sequences and polytopes
• ADJUSTED VITERBI TRAINING
• Existence of infinite Viterbi path for pairwise Markov models
• The infinite viterbi alignment and decay-convexity
• A Constructive Proof of the Existence of Viterbi Processes
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