Localizing the latent structure canonical uncertainty: entropy profiles for hidden Markov models

DOI10.1007/S11222-014-9494-9MaRDI QIDQ2631384zbMATH OpenOpenAlexFDO

Authors Jean-Baptiste Durand, Yann Guédon

Publication date 29 July 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.6545

zbMATH Keywords

conditional entropyhidden Markov chain modelhidden Markov tree modelplant structure analysis

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05)

Abstract: This report addresses state inference for hidden Markov models. These models rely on unobserved states, which often have a meaningful interpretation. This makes it necessary to develop diagnostic tools for quantification of state uncertainty. The entropy of the state sequence that explains an observed sequence for a given hidden Markov chain model can be considered as the canonical measure of state sequence uncertainty. This canonical measure of state sequence uncertainty is not reflected by the classic multivariate state profiles computed by the smoothing algorithm, which summarizes the possible state sequences. Here, we introduce a new type of profiles which have the following properties: (i) these profiles of conditional entropies are a decomposition of the canonical measure of state sequence uncertainty along the sequence and makes it possible to localize this uncertainty, (ii) these profiles are univariate and thus remain easily interpretable on tree structures. We show how to extend the smoothing algorithms for hidden Markov chain and tree models to compute these entropy profiles efficiently.

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