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Asymptotic Smoothing errors for Hidden Markov Models

Shue, L; Anderson, Brian; De Bruyne, Franky

Description

In this paper, the asymptotic smoothing error for hidden Markov models (HMMs) is investigated using hypothesis testing ideas. A family of HMMs is studied parametrised by a positive constant e, which is a measure of the frequency of change. Thus, when e -> 0, the HMM becomes increasingly slower moving. We show that the smoothing error is O(e). These theoretical predictions are confirmed by a series of simulations.

dc.contributor.authorShue, L
dc.contributor.authorAnderson, Brian
dc.contributor.authorDe Bruyne, Franky
dc.date.accessioned2015-12-08T22:26:35Z
dc.date.available2015-12-08T22:26:35Z
dc.identifier.issn1053-587X
dc.identifier.urihttp://hdl.handle.net/1885/33693
dc.description.abstractIn this paper, the asymptotic smoothing error for hidden Markov models (HMMs) is investigated using hypothesis testing ideas. A family of HMMs is studied parametrised by a positive constant e, which is a measure of the frequency of change. Thus, when e -> 0, the HMM becomes increasingly slower moving. We show that the smoothing error is O(e). These theoretical predictions are confirmed by a series of simulations.
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE Inc)
dc.sourceIEEE Transactions on Signal Processing
dc.subjectKeywords: Computer simulation; Error analysis; Markov processes; Mathematical models; Matrix algebra; Parameter estimation; Signal to noise ratio; Statistical tests; Vectors; Asymptotic errors; Hidden Markov models; Hypothesis testing; Signal smoothing; Signal filt Asymptotic error; Hidden markov model; Smoothing
dc.titleAsymptotic Smoothing errors for Hidden Markov Models
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume48
dc.date.issued2000
local.identifier.absfor090609 - Signal Processing
local.identifier.ariespublicationMigratedxPub105
local.type.statusPublished Version
local.contributor.affiliationShue, L, College of Engineering and Computer Science, ANU
local.contributor.affiliationAnderson, Brian, College of Engineering and Computer Science, ANU
local.contributor.affiliationDe Bruyne, Franky, College of Engineering and Computer Science, ANU
local.bibliographicCitation.issue12
local.bibliographicCitation.startpage3289
local.bibliographicCitation.lastpage3302
local.identifier.doi10.1109/78.886992
dc.date.updated2015-12-08T09:12:24Z
local.identifier.scopusID2-s2.0-0034429493
CollectionsANU Research Publications

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