2018
DOI: 10.1016/j.sigpro.2017.12.006
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Assessing the segmentation performance of pairwise and triplet Markov models

Abstract: The hidden Markov models (HMMs) are state-space models widely applied in time series analysis. Wellknown Bayesian state estimation methods designed for HMMs, such as the Baum-Welch algorithm and the Viterbi algorithm, allow state estimation with a complexity linear in the sample size. We consider recent extensions of HMMs, specifically the pairwise Markov models (PMMs) and the triplet Markov models (TMMs), in which the Baum-Welch algorithm also has a complexity linear in the sample size. However, the state pro… Show more

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Cited by 25 publications
(19 citation statements)
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“…Hidden Markov Models (HMMs) are a popular family of probabilistic graphical models which have been used in a wide variety of contexts [5]. HMMs are an active research topic where many extensions tend to generalize models so that they can integrate many more dependencies between random variables and thus model more complex phenomena [6] [7] [8]. In particular, Markov Trees (MTs) are generalization of Markov Chains that are particularly suited for modeling multi-resolution data.…”
Section: Context and Related Workmentioning
confidence: 99%
“…Hidden Markov Models (HMMs) are a popular family of probabilistic graphical models which have been used in a wide variety of contexts [5]. HMMs are an active research topic where many extensions tend to generalize models so that they can integrate many more dependencies between random variables and thus model more complex phenomena [6] [7] [8]. In particular, Markov Trees (MTs) are generalization of Markov Chains that are particularly suited for modeling multi-resolution data.…”
Section: Context and Related Workmentioning
confidence: 99%
“…For example, to apply it to the so-called triplet Markov models, see e.g. [15,10,23], some additional assumptions are needed. Similarly it is not clear how to apply segmentation EM in HMMs with infinite state spaces (hierarchical Dirichlet processes).…”
Section: Objectives Of the Articlementioning
confidence: 99%
“…The process Z is sometimes called the pairwise Markov model (PMM) [34,5,6,14] and covers many latent variable models used in practice, such as hidden Markov models (HMM) and autoregressive regime-switching models. For a classification and general properties of pairwise models, we refer to [34,6,14]. Generally, neither Y nor X is a Markov chain, although for special cases they might be.…”
Section: Introductionmentioning
confidence: 99%