Generic identication of binary-valued hidden Markov processes

DOI10.18409/JAS.V5I1.26MaRDI QIDQ2820004zbMATH OpenOpenAlexFDO

Authors Alexander Schönhuth

Publication date 13 September 2016

Published in Journal of Algebraic Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.3712

zbMATH Keywords

algebraic statisticshidden Markov processesgeneric identification

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Symbolic computation and algebraic computation (68W30) Applications of commutative algebra (e.g., to statistics, control theory, optimization, etc.) (13P25)

Abstract: The generic identification problem is to decide whether a stochastic process $(X_t)$ is a hidden Markov process and if yes to infer its parameters for all but a subset of parametrizations that form a lower-dimensional subvariety in parameter space. Partial answers so far available depend on extra assumptions on the processes, which are usually centered around stationarity. Here we present a general solution for binary-valued hidden Markov processes. Our approach is rooted in algebraic statistics hence it is geometric in nature. We find that the algebraic varieties associated with the probability distributions of binary-valued hidden Markov processes are zero sets of determinantal equations which draws a connection to well-studied objects from algebra. As a consequence, our solution allows for algorithmic implementation based on elementary (linear) algebraic routines.

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• Identifying combinatorially symmetric hidden Markov models
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