On the equivalence between standard and sequentially ordered hidden Markov models

DOI10.1016/J.SPL.2008.02.010zbMATH Open1283.62170OpenAlexW2028584384MaRDI QIDQ730729FDOQ730729

Authors Nicolas Chopin

Publication date 30 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.6161

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12)

Abstract: Chopin (2007) introduced a sequentially ordered hidden Markov model, for which states are ordered according to their order of appearance, and claimed that such a model is a re-parametrisation of a standard Markov model. This note gives a formal proof that this equivalence holds in Bayesian terms, as both formulations generate equivalent posterior distributions, but does not hold in Frequentist terms, as both formulations generate incompatible likelihood functions. Perhaps surprisingly, this shows that Bayesian re-parametrisation and Frequentist re-parametrisation are not identical concepts.

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Cites work

• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• Bayesian Methods for Hidden Markov Models
• Finite mixture models
• Inference and Model Choice for Sequentially Ordered Hidden Markov Models
• Inference in hidden Markov models.

Cited in

(1)

• Inference and Model Choice for Sequentially Ordered Hidden Markov Models

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