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Hidden Markov models have successfully been applied as models of discrete time series in many fields. Often, when applied in practice, the parameters of these models have to be estimated. The currently predominating identification methods,…
We present a new algorithm for identifying the transition and emission probabilities of a hidden Markov model (HMM) from the emitted data. Expectation-maximization becomes computationally prohibitive for long observation records, which are…
Continuous-time state-space models (SSMs) are flexible tools for analysing irregularly sampled sequential observations that are driven by an underlying state process. Corresponding applications typically involve restrictive assumptions…
Hidden Markov models (HMMs) are powerful tools for analysing time series data that depend on discrete underlying but unobserved states. As such, they have gained prominence across numerous empirical disciplines, in particular ecology,…
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…
Standard practice in Hidden Markov Model (HMM) selection favors the candidate with the highest full-sequence likelihood, although this is equivalent to making a decision based on a single realization. We introduce a \emph{fragment-based}…
Hidden Markov Model (HMM) is often regarded as the dynamical model of choice in many fields and applications. It is also at the heart of most state-of-the-art speech recognition systems since the 70's. However, from Gaussian mixture models…
We propose DenseHMM - a modification of Hidden Markov Models (HMMs) that allows to learn dense representations of both the hidden states and the observables. Compared to the standard HMM, transition probabilities are not atomic but composed…
We propose a new scheme for selecting pool states for the embedded Hidden Markov Model (HMM) Markov Chain Monte Carlo (MCMC) method. This new scheme allows the embedded HMM method to be used for efficient sampling in state space models…
We consider a method for approximate inference in hidden Markov models (HMMs). The method circumvents the need to evaluate conditional densities of observations given the hidden states. It may be considered an instance of Approximate…
This paper presents a new and flexible prognostics framework based on a higher order hidden semi-Markov model (HOHSMM) for systems or components with unobservable health states and complex transition dynamics. The HOHSMM extends the basic…
Infinite Hidden Markov Models (iHMM's) are an attractive, nonparametric generalization of the classical Hidden Markov Model which can automatically infer the number of hidden states in the system. However, due to the infinite-dimensional…
Automated fault localization is an important issue in model validation and verification. It helps the end users in analyzing the origin of failure. In this work, we show the early experiments with probabilistic analysis approaches in fault…
Ecological systems can often be characterised by changes among a finite set of underlying states pertaining to individuals, populations, communities, or entire ecosystems through time. Owing to the inherent difficulty of empirical field…
We consider penalized estimation in hidden Markov models (HMMs) with multivariate Normal observations. In the moderate-to-large dimensional setting, estimation for HMMs remains challenging in practice, due to several concerns arising from…
Recurrent State-space models (RSSMs) are highly expressive models for learning patterns in time series data and system identification. However, these models assume that the dynamics are fixed and unchanging, which is rarely the case in…
Lane determination and lane sequence determination are important components for many Connected and Automated Vehicle (CAV) applications. Lane determination has been solved using Hidden Markov Model (HMM) among other methods. The existing…
We propose a Bayesian nonparametric mixture model for prediction- and information extraction tasks with an efficient inference scheme. It models categorical-valued time series that exhibit dynamics from multiple underlying patterns (e.g.…
This paper presents a mathematical framework for causal nonlinear prediction in settings where observations are generated from an underlying hidden Markov model (HMM). Both the problem formulation and the proposed solution are motivated by…
We describe a generalization of the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) which is able to encode prior information that state transitions are more likely between "nearby" states. This is accomplished by defining a…