Context Tree Estimation in Variable Length Hidden Markov Models
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Publication:2986317
DOI10.1109/TIT.2014.2314094zbMATH Open1360.62437arXiv1109.0392WikidataQ99980162 ScholiaQ99980162MaRDI QIDQ2986317FDOQ2986317
Authors: Thierry Dumont 
Publication date: 16 May 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1109.0392
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