2019
DOI: 10.1051/ps/2018017
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Maximum likelihood estimation in hidden Markov models with inhomogeneous noise

Abstract: We consider parameter estimation in finite hidden state space Markov models with time-dependent inhomogeneous noise, where the inhomogeneity vanishes sufficiently fast. Based on the concept of asymptotic mean stationary processes we prove that the maximum likelihood and a quasi-maximum likelihood estimator (QMLE) are strongly consistent. The computation of the QMLE ignores the inhomogeneity, hence, is much simpler and robust. The theory is motivated by an example from biophysics and applied to a Poissonand lin… Show more

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Cited by 7 publications
(7 citation statements)
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“…There is wide agreement that, except in few counterexamples (Fuliński et al 1998;Mercik and Weron 2001;Goychuk et al 2005;Shelley et al 2010), the or small holes in the membrane, or because of additional high-frequency f 2 (violet) and long-tailed 1/f (pink) noise components, see for instance (Neher and Sakmann 1976;Venkataramanan et al 1998;Levis and Rae 1993). Hence, HMM-based analyses often rely on intensive preprocessing or on more complicated models: for instance, (Venkataramanan et al 1998) assumed an HMM that allows additional colored noise, and (Diehn et al 2019) provided modifications to incorporate inhomogeneous errors. Moreover, low-pass filtering often requires further, computationally demanding extensions, see for instance (Venkataramanan et al 1998;de Gunst et al 2001;Diehn 2017;Almanjahie et al 2019).…”
Section: Interplay Between Model-free Idealizations and Hidden Markov Modelsmentioning
confidence: 99%
See 1 more Smart Citation
“…There is wide agreement that, except in few counterexamples (Fuliński et al 1998;Mercik and Weron 2001;Goychuk et al 2005;Shelley et al 2010), the or small holes in the membrane, or because of additional high-frequency f 2 (violet) and long-tailed 1/f (pink) noise components, see for instance (Neher and Sakmann 1976;Venkataramanan et al 1998;Levis and Rae 1993). Hence, HMM-based analyses often rely on intensive preprocessing or on more complicated models: for instance, (Venkataramanan et al 1998) assumed an HMM that allows additional colored noise, and (Diehn et al 2019) provided modifications to incorporate inhomogeneous errors. Moreover, low-pass filtering often requires further, computationally demanding extensions, see for instance (Venkataramanan et al 1998;de Gunst et al 2001;Diehn 2017;Almanjahie et al 2019).…”
Section: Interplay Between Model-free Idealizations and Hidden Markov Modelsmentioning
confidence: 99%
“…We limit our discussion mostly to homogeneous HMMs, which means that the parameters, which describe state transition properties and noise distribution, are constant in time. Inhomogeneous HMMs, see, for instance, (Diehn et al 2019), are rarely used, as they are computationally more challenging and theoretical guarantees for parameter estimates are much harder to prove. As JULES detects short events, but finds many small events, which are most likely false positives, at areas of high conductance and high var-iance (see, for instance, the idealization of the observations around 0.36 nS in the middle panel).…”
Section: Hmm-based Analysismentioning
confidence: 99%
“…Various extensions of HMMs have been introduced, see e.g. (Sin and Kim, 1995;Mari et al, 1997;Fine et al, 1998;Guan et al, 2016;Siekmann et al, 2016;Diehn et al, 2019). Most related to our setting are factorial HMMs (Ghahramani and Jordan, 1997;, that consider several independent unobservable chains.…”
Section: Related Workmentioning
confidence: 99%
“…Methods for open channel noise: Idealization methodology can be divided into so called model-free methods [5]- [7], [16], [17] which do not rely on a specific model for the gating dynamics, to methodology based on hidden Markov models (HMM) [18]- [23] and to current distribution fitting [13], [24]- [26]. The latter often assume a hidden Markov model as well but focus on parameter estimation directly.…”
Section: Introductionmentioning
confidence: 99%