In a real life process evolving over time, the relationship between its relevant variables may change. Therefore, it is advantageous to have different inference models for each state of the process. Asymmetric hidden Markov models fulfil this dynamical requirement and provide a framework where the trend of the process can be expressed as a latent variable. In this paper, we modify these recent asymmetric hidden Markov models to have an asymmetric autoregressive component in the case of continuous variables, allowing the model to choose the order of autoregression that maximizes its penalized likelihood for a given training set. Additionally, we show how inference, hidden states decoding and parameter learning must be adapted to fit the proposed model. Finally, we run experiments with synthetic and real data to show the capabilities of this new model.
Hidden Markov models have been successfully applied to model signals and dynamic data. However, when dealing with many variables, traditional hidden Markov models do not take into account asymmetric dependencies, leading to models with overfitting and poor problem insight. To deal with the previous problem, asymmetric hidden Markov models were recently proposed, whose emission probabilities are modified to follow a state-dependent graphical model. However, only discrete models have been developed. In this paper we introduce asymmetric hidden Markov models with continuous variables using state-dependent linear Gaussian Bayesian networks. We propose a parameter and structure learning algorithm for this new model. We run experiments with real data from bearing vibration. Since vibrational data is continuous, with the proposed model we can avoid any variable discretization step and perform learning and inference in an asymmetric information frame.
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