Infinite Mixture Model of Markov Chains
Abstract
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. user behavior traces). We simplify the idea of capturing these patterns by hierarchical hidden Markov models (HHMMs) - and extend the existing approaches by the additional representation of structural information. Our empirical results are based on both synthetic- and real world data. They indicate that the results are easily interpretable, and that the model excels at segmentation and prediction performance: it successfully identifies the generating patterns and can be used for effective prediction of future observations.
Cite
@article{arxiv.1706.06178,
title = {Infinite Mixture Model of Markov Chains},
author = {Jan Reubold and Thorsten Strufe and Ulf Brefeld},
journal= {arXiv preprint arXiv:1706.06178},
year = {2017}
}