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Bayesian model selection for Markov, hidden Markov, and multinomial models
Uppsala University, Disciplinary Domain of Science and Technology, Technology, Department of Engineering Sciences, Signals and Systems Group. Uppsala University, Disciplinary Domain of Science and Technology, Technology, Department of Engineering Sciences, Signal Processing.
Uppsala University, Disciplinary Domain of Science and Technology, Technology, Department of Engineering Sciences, Signals and Systems Group. Uppsala University, Disciplinary Domain of Science and Technology, Technology, Department of Engineering Sciences, Signal Processing.
2007 (English)In: IEEE Signal Processing Letters, ISSN 1070-9908, E-ISSN 1558-2361, Vol. 14, no 2, 129-132 p.Article in journal (Refereed) Published
Abstract [en]

Model selection based on observed data sequences is used to decide between different model structures within the class of multinomial, Markov, and hidden Markov models. In a unified Bayesian treatment, we derive posterior probabilities for different model structures without assuming prior knowledge of transition probabilities. We emphasize the following tests: 1) Given a particular data sequence of n outcomes, is each state equally likely? 2) Do the data support an independent model, or is a Markov model a more plausible description? 3) Are two data sequences generated from a) the same Markov model? b) the same hidden Markov model? For Markov models and independent multinomial models, all results are exact. For hidden Markov models, the exact solution is computationally prohibitive, and instead, an approximate solution is proposed.

Place, publisher, year, edition, pages
2007. Vol. 14, no 2, 129-132 p.
Keyword [en]
Bayes procedures, Markov models, hidden Markov models (HMMs)
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:uu:diva-13358DOI: 10.1109/LSP.2006.882094ISI: 000243889600013OAI: oai:DiVA.org:uu-13358DiVA: diva2:41128
Available from: 2008-01-22 Created: 2008-01-22 Last updated: 2017-12-11Bibliographically approved

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Olofsson, Tomas

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