Subspace estimation and prediction methods for hidden Markov models
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Abstract: Hidden Markov models (HMMs) are probabilistic functions of finite Markov chains, or, put in other words, state space models with finite state space. In this paper, we examine subspace estimation methods for HMMs whose output lies a finite set as well. In particular, we study the geometric structure arising from the nonminimality of the linear state space representation of HMMs, and consistency of a subspace algorithm arising from a certain factorization of the singular value decomposition of the estimated linear prediction matrix. For this algorithm, we show that the estimates of the transition and emission probability matrices are consistent up to a similarity transformation, and that the -step linear predictor computed from the estimated system matrices is consistent, i.e., converges to the true optimal linear -step predictor.
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Cited in
(4)- A discrete regularization method for hidden Markov models embedded into reproducing kernel Hilbert space
- Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates
- Mixed hidden Markov models for longitudinal data: an overview
- Subspace estimation and prediction methods for hidden Markov models
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