Existence of infinite Viterbi path for pairwise Markov models

DOI10.1016/J.SPA.2019.05.004MaRDI QIDQ2301482zbMATH OpenOpenAlexFDO

Authors J. Lember, Joonas Sova

Publication date 24 February 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.03799

zbMATH Keywords

hidden Markov model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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, where the joint process consisting of finite-state hidden regime and observation process is assumed to be a Markov chain. We prove that under some conditions it is possible to extend the Viterbi path to infinity for almost every observation sequence which in turn enables to define an infinite Viterbi decoding of the observation process, called the Viterbi process. This is 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.

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Cited in

(8)

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• Pairwise Markov models and hybrid segmentation approach
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• On the Viterbi process with continuous state space
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