Context Tree Estimation in Variable Length Hidden Markov Models

DOI10.1109/TIT.2014.2314094MaRDI QIDQ2986317zbMATH OpenWikidataFDO

Authors Thierry Dumont

Publication date 16 May 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.0392

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Measures of information, entropy (94A17)

Abstract: We address the issue of context tree estimation in variable length hidden Markov models. We propose an estimator of the context tree of the hidden Markov process which needs no prior upper bound on the depth of the context tree. We prove that the estimator is strongly consistent. This uses information-theoretic mixture inequalities in the spirit of Finesso and Lorenzo(Consistent estimation of the order for Markov and hidden Markov chains(1990)) and E.Gassiat and S.Boucheron (Optimal error exponents in hidden Markov model order estimation(2003)). We propose an algorithm to efficiently compute the estimator and provide simulation studies to support our result.

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