Related papers: Hierarchical Non-Emitting Markov Models
A periodically modulated N-state model whose dynamics is governed by a time-convoluted generalized master equation is theoretically analyzed. It is shown that this non-Markovian master equation can be converted to a Markovian master…
Hidden Markov models (HMMs) offer a robust and efficient framework for analyzing time series data, modelling both the underlying latent state progression over time and the observation process, conditional on the latent state. However, a…
Aggregated Markov models provide a flexible framework for stochastic dynamics that develops on multiple timescales. For example, Markov models for ion channels often consist of multiple open and closed state to account for "slow" and "fast"…
This work proposes a multi-agent filtering algorithm over graphs for finite-state hidden Markov models (HMMs), which can be used for sequential state estimation or for tracking opinion formation over dynamic social networks. We show that…
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation processes. The method may be applied to…
Model merging, typically on Instruct and Thinking models, has shown remarkable performance for efficient reasoning. In this paper, we systematically revisit the simplest merging method that interpolates two weights directly. Particularly,…
This paper describes the conversion of a Hidden Markov Model into a finite state transducer that closely approximates the behavior of the stochastic model. In some cases the transducer is equivalent to the HMM. This conversion is especially…
We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and…
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…
This paper studies the robustness of quasi-maximum-likelihood (QML) estimation in hidden Markov models (HMMs) when the regime-switching structure is misspecified. Specifically, we examine the case where the true data-generating process…
Exact inference for hidden Markov models requires the evaluation of all distributions of interest - filtering, prediction, smoothing and likelihood - with a finite computational effort. This article provides sufficient conditions for exact…
The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…
We address the problem of analyzing sets of noisy time-varying signals that all report on the same process but confound straightforward analyses due to complex inter-signal heterogeneities and measurement artifacts. In particular we…
We define a Hidden Markov Model (HMM) in which each hidden state has time-dependent $\textit{activity levels}$ that drive transitions and emissions, and show how to estimate its parameters. Our construction is motivated by the problem of…
Infinite hidden Markov models provide a flexible framework for modelling time series with structural changes and complex dynamics, without requiring the number of latent states to be specified in advance. This flexibility is achieved…
We introduce Markov substitute processes, a new model at the crossroad of statistics and formal grammars, and prove its main property : Markov substitute processes with a given support form an exponential family.
This work focuses on enhancing the performance of text-dependent and speaker-dependent talking condition identification systems using second-order hidden Markov models (HMM2s). Our results show that the talking condition identification…
Many ion channels spontaneously switch between different levels of activity. Although this behaviour known as modal gating has been observed for a long time it is currently not well understood. Despite the fact that appropriately…
The Markov modulated (switching) state space is an important model paradigm in applied statistics. In this article, we specifically consider Markov modulated nonlinear state-space models and address the online Bayesian inference problem for…
We study a non Markovian three state model, subjected to an external periodic signal. This model is intended to describe an excitable systems with periodical driving. In the limit of a small amplitude of the external signal we derive…