Related papers: A constructive proof of the existence of Viterbi p…
In this article, we use the theory of quantum channels and open quantum systems to provide an efficient unitary characterization of a class of stochastic generators known as quantum hidden Markov models (QHMMs). By utilizing the unitary…
Online (also called "recursive" or "adaptive") estimation of fixed model parameters in hidden Markov models is a topic of much interest in times series modelling. In this work, we propose an online parameter estimation algorithm that…
This paper deals with parameter estimation in pair hidden Markov models (pair-HMMs). We first provide a rigorous formalism for these models and discuss possible definitions of likelihoods. The model being biologically motivated, some…
Variational inference algorithms have proven successful for Bayesian analysis in large data settings, with recent advances using stochastic variational inference (SVI). However, such methods have largely been studied in independent or…
In unsupervised classification, Hidden Markov Models (HMM) are used to account for a neighborhood structure between observations. The emission distributions are often supposed to belong to some parametric family. In this paper, a…
The formalism of state estimation and hidden Markov models (HMMs) can simplify and clarify the discussion of stochastic thermodynamics in the presence of feedback and measurement errors. After reviewing the basic formalism, we use it to…
Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different…
Conformal prediction is a widely used method to quantify the uncertainty of a classifier under the assumption of exchangeability (e.g., IID data). We generalize conformal prediction to the Hidden Markov Model (HMM) framework where the…
Sparse structure learning in high-dimensional Gaussian graphical models is an important problem in multivariate statistical signal processing; since the sparsity pattern naturally encodes the conditional independence relationship among…
Marketing mix models (MMMs) are statistical models for measuring the effectiveness of various marketing activities such as promotion, media advertisement, etc. In this research, we propose a comprehensive marketing mix model that captures…
Round-Trip Times are one of the most commonly collected performance metrics in computer networks. Measurement platforms such as RIPE Atlas provide researchers and network operators with an unprecedented amount of historical Internet delay…
One of the central interests of animal movement ecology is relating movement characteristics to behavioural characteristics. The traditional discrete-time statistical tool for inferring unobserved behaviours from movement data is the hidden…
Traditional approaches to mapping of environments in robotics make use of spatially discretized representations, such as occupancy grid maps. Modern systems, e.g. in agriculture or automotive applications, are equipped with a variety of…
In this paper, we consider the filtering and smoothing recursions in nonparametric finite state space hidden Markov models (HMMs) when the parameters of the model are unknown and replaced by estimators. We provide an explicit and time…
There are many situations in which it would be beneficial for a robot to have predictive abilities similar to those of rational humans. Some of these situations include collaborative robots, robots in adversarial situations, and for dynamic…
Hidden Markov models (HMMs) are ubiquitous in time-series modelling, with applications ranging from chemical reaction modelling to speech recognition. These HMMs are often large, with high-dimensional memories. A recently-proposed…
We describe libhmm, a C++20 library for Hidden Markov Model parameter estimation, sequence decoding, and model selection. libhmm addresses two gaps in existing software: the absence of a well-maintained, zero-dependency C++ HMM library…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
This paper considers the quickest detection problem for hidden Markov models (HMMs) in a Bayesian setting. We construct an augmented HMM representation of the problem that allows the application of a dynamic programming approach to prove…
The hidden Markov model (HMM) is a classic modeling tool with a wide swath of applications. Its inception considered observations restricted to a finite alphabet, but it was quickly extended to multivariate continuous distributions. In this…