Hidden Markov Model with Markovian emission

Elkimakh Karima () and Nasroallah Abdelaziz ()
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Elkimakh Karima: Department of Mathematics, Faculty of Sciences Semlalia, Cadi Ayyad University, B.P. 2390, Marrakesh, Morocco
Nasroallah Abdelaziz: Department of Mathematics, Faculty of Sciences Semlalia, Cadi Ayyad University, B.P. 2390, Marrakesh, Morocco

Monte Carlo Methods and Applications, 2020, vol. 26, issue 4, 303-313

Abstract: In our paper [A. Nasroallah and K. Elkimakh, HMM with emission process resulting from a special combination of independent Markovian emissions, Monte Carlo Methods Appl. 23 2017, 4, 287–306] we have studied, in a first scenario, the three fundamental hidden Markov problems assuming that, given the hidden process, the observed one selects emissions from a combination of independent Markov chains evolving at the same time. Here, we propose to conduct the same study with a second scenario assuming that given the hidden process, the emission process selects emissions from a combination of independent Markov chain evolving according to their own clock. Three basic numerical examples are studied to show the proper functioning of the iterative algorithm adapted to the proposed model.

Keywords: Hidden Markov Model; Markov chain; emission state; stochastic algorithm; statistical estimation (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1515/mcma-2020-2072

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