On the Viterbi process with continuous state space
Statistics Theory
2012-07-25 v3 Probability
Statistics Theory
Abstract
This paper deals with convergence of the maximum a posterior probability path estimator in hidden Markov models. We show that when the state space of the hidden process is continuous, the optimal path may stabilize in a way which is essentially different from the previously considered finite-state setting.
Keywords
Cite
@article{arxiv.0909.2139,
title = {On the Viterbi process with continuous state space},
author = {Pavel Chigansky and Yaacov Ritov},
journal= {arXiv preprint arXiv:0909.2139},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.3150/10-BEJ294 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)