A minimum description length approach to hidden Markov models with Poisson and Gaussian emissions. Application to order identification
作者： A. Chambaz , A. Garivier , E. Gassiat
DOI: 10.1016/J.JSPI.2008.06.010
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摘要: Abstract We address the issue of order identification for hidden Markov models with Poisson and Gaussian emissions. prove information-theoretic BIC-like mixture inequalities in spirit Finesso [1991. Consistent estimation chains. Ph.D. Thesis, University Maryland]; Liu Narayan [1994. Order sequential universal data compression a source by method mixtures. Canad. J. Statist. 30(4), 573–589]; Gassiat Boucheron [2003. Optimal error exponents estimation. IEEE Trans. Inform. Theory 49(4), 964–980]. These lead to consistent penalized estimators that need no prior bound on order. A simulation study an application postural analysis humans are provided.
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