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Inference in finite state space non parametric hidden markov models and applications

Abstract : Hidden Markov models (HMMs) are intensively used in various fields to model and classify data observed along a line (e.g. time). The fit of such models strongly relies on the choice of emission distributions that are most often chosen among some parametric family. In this paper, we prove that finite state space non parametric HMMs are identifiable as soon as the transition matrix of the latent Markov chain has full rank and the emission probability distributions are linearly independent. This general result allows the use of semi- or non-parametric emission distributions. Based on this result we present a series of classification problems that can be tackled out of the strict parametric framework. We derive the corresponding inference algorithms. We also illustrate their use on few biological examples, showing that they may improve the classification performances.
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Submitted on : Thursday, October 1, 2015 - 8:12:03 PM
Last modification on : Wednesday, October 14, 2020 - 4:09:55 AM




E. Gassiat, Alice Cleynen, Stephane Robin. Inference in finite state space non parametric hidden markov models and applications. Statistics and Computing, Springer Verlag (Germany), 2015, 26 (1-2), ⟨10.1007/s11222-014-9523-8⟩. ⟨hal-01208116⟩



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