Hidden Markov models with mixtures as emission distributions
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Abstract: In unsupervised classification, Hidden Markov Models (HMM) are used to account for a neighborhood structure between observations. The emission distributions are often supposed to belong to some parametric family. In this paper, a semiparametric modeling where the emission distributions are a mixture of parametric distributions is proposed to get a higher flexibility. We show that the classical EM algorithm can be adapted to infer the model parameters. For the initialisation step, starting from a large number of components, a hierarchical method to combine them into the hidden states is proposed. Three likelihood-based criteria to select the components to be combined are discussed. To estimate the number of hidden states, BIC-like criteria are derived. A simulation study is carried out both to determine the best combination between the merging criteria and the model selection criteria and to evaluate the accuracy of classification. The proposed method is also illustrated using a biological dataset from the model plant Arabidopsis thaliana. A R package HMMmix is freely available on the CRAN.
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- Modeling animal movement with directional persistence and attractive points
- Variational Bayes approach for model aggregation in unsupervised classification with Markovian dependency
- A Novel Continuous Hidden Markov Model for Modeling Positive Sequential Data
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- Bayesian Spline-Based Hidden Markov Models with Applications to Actimetry Data and Sleep Analysis
- Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
- Scalable Inference for Hybrid Bayesian Hidden Markov Model Using Gaussian Process Emission
- Spline‐based nonparametric inference in general state‐switching models
- Identifiability and consistent estimation of nonparametric translation hidden Markov models with general state space
- Finite mixture model of hidden Markov regression with covariate dependence
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