NDLI: Computational issues in parameter estimation for stationary hidden Markov models

Content Provider	Springer Nature Link
Author	Bulla, Jan Berzel, Andreas
Copyright Year	2007
Abstract	The parameters of a hidden Markov model (HMM) can be estimated by numerical maximization of the log-likelihood function or, more popularly, using the expectation–maximization (EM) algorithm. In its standard implementation the latter is unsuitable for fitting stationary hidden Markov models (HMMs). We show how it can be modified to achieve this. We propose a hybrid algorithm that is designed to combine the advantageous features of the two algorithms and compare the performance of the three algorithms using simulated data from a designed experiment, and a real data set. The properties investigated are speed of convergence, stability, dependence on initial values, different parameterizations. We also describe the results of an experiment to assess the true coverage probability of bootstrap-based confidence intervals for the parameters.
Starting Page	1
Ending Page	18
Page Count	18
File Format	PDF
ISSN	09434062
Journal	Computational Statistics
Volume Number	23
Issue Number	1
e-ISSN	16139658
Language	English
Publisher	Springer-Verlag
Publisher Date	2007-07-13
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Computational methods Confidence intervals EM algorithm Hybrid algorithm Initial conditions Newton-type algorithm Parameterization Stationary hidden Markov model Economic Theory Probability Theory and Stochastic Processes Probability and Statistics in Computer Science Statistics
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty Computational Mathematics

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
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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