Approximation of stationary processes by hidden Markov models

DOI10.1007/s00498-010-0050-7zbMath1248.93151arXivmath/0606591WikidataQ63196627 ScholiaQ63196627MaRDI QIDQ661013

Lorenzo Finesso, Angela Grassi, Peter Spreij

Publication date: 6 February 2012

Published in: MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0606591

zbMATH Keywords

approximation; Hankel matrix; Kullback-Leibler divergence; hidden Markov model (HMM); divergence rate; nonnegative matrix factorization (NMF)

Mathematics Subject Classification ID

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

93E03: Stochastic systems in control theory (general)

Related Items

Structured nonnegative matrix factorization with applications to hidden Markov realization and clustering, Equivalence of state representations for hidden Markov models

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