Mixed space coupled hidden Markov model

Kroumbi Hafssa () and Nasroallah Abdelaziz ()
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Kroumbi Hafssa: Department of Mathematics, FSSM, University of Cadi-Ayyad, Marrakesh, Morocco
Nasroallah Abdelaziz: Department of Mathematics, FSSM, University of Cadi-Ayyad, Marrakesh, Morocco

Monte Carlo Methods and Applications, 2025, vol. 31, issue 1, 29-42

Abstract: A coupled Hidden Markov Model (cHMM) is a hidden Markov model whose hidden Markov chain is bi-dimensional. In this paper, we focus to solve the likelihood and the decoding problems of a cHMM whose state space is composed of a continuous part and a discrete part. We adapt Forward, Backward and Viterbi algorithms to be able to study such cHMMs problems. Basic numerical examples are considered to show the well functioning of the elaborated algorithms for our proposal.

Keywords: Markov chains; coupled hidden Markov model; forward-backward algorithm; Viterbi algorithm; mixed probability distribution (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1515/mcma-2024-2025

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