On the Sequential Probability Ratio Test in Hidden Markov Models
Probability
2023-02-07 v2 Logic in Computer Science
Statistics Theory
Statistics Theory
Abstract
We consider the Sequential Probability Ratio Test applied to Hidden Markov Models. Given two Hidden Markov Models and a sequence of observations generated by one of them, the Sequential Probability Ratio Test attempts to decide which model produced the sequence. We show relationships between the execution time of such an algorithm and Lyapunov exponents of random matrix systems. Further, we give complexity results about the execution time taken by the Sequential Probability Ratio Test.
Cite
@article{arxiv.2207.14088,
title = {On the Sequential Probability Ratio Test in Hidden Markov Models},
author = {Oscar Darwin and Stefan Kiefer},
journal= {arXiv preprint arXiv:2207.14088},
year = {2023}
}
Comments
28 pages, 10 figures, submitted to CONCUR 2022