ESTIMATING THE ORDER OF HIDDEN MARKOV-MODELS

被引：44

作者：

RYDEN, T ^{[1
]}

机构：

[1] LUND INST TECHNOL,DEPT MATH SCI,S-22100 LUND,SWEDEN

来源：

STATISTICS | 1995年 / 26卷 / 04期

关键词：

HIDDEN MARKOV MODEL; ORDER; MIXTURE DISTRIBUTION; MARKOV REGIME;

D O I：

10.1080/02331889508802501

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Hidden Markov models (HMMs) have during the last decade become a widely spread tool for modelling sequences of dependent random variables. Inference for HMMs has been considered by several authors, but so far no work has been done on estimating their order. In this paper we propose a penalized likelihood estimator for this purpose. This estimator is based on the Ill-dimensional distribution of HMM, and it is shown that in the limit it does not underestimate the order.

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收藏

页码：345 / 354

页数：10

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