NDLI: Recursive computation of the score and observed information matrix in hidden markov models

Content Provider	IEEE Xplore Digital Library
Author	Cappe, O. Moulines, E.
Copyright Year	2002
Description	Author affiliation: Centre Nat. de la Recherche Scientifique, Ecole Nat. Superieure des Telecommun., Paris (Cappe, O.; Moulines, E.)
Abstract	Hidden Markov models (henceforth abbreviated to HMMs), taken in their most general acception, that is, including models in which the state space of the hidden chain is continuous, have become a widely used class of statistical models with applications in diverse areas such as communications, engineering, bioinformatics, econometrics and many more. This contribution focus on the computation of derivatives of the log-likelihood and proposes a (comparatively!) simple and general framework, based on the use of Fisher and Louis identities, to obtain recursive equations for computing the score and observed information matrix. This approach is thought to be simpler than (although equivalent to) the solution provided by the so-called sensitivity equations. It is based on the original remark that recursive smoothers for HMMs are also available for some functional of the hidden states which do not reduce to sum functionals. This view of the problem also suggests ways in which these exact equations could be approximated using sequential Monte Carlo methods
Starting Page	703
Ending Page	708
File Size	166283
Page Count	6
File Format	PDF
ISBN	0780394038
DOI	10.1109/SSP.2005.1628685
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2005-07-17
Publisher Place	Russia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Hidden Markov models Equations Signal processing algorithms State-space methods Bioinformatics Econometrics Solid modeling Smoothing methods Digital communication Speech recognition
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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