Basic problems and solution methods for two-dimensional continuous 3 × 3 order hidden Markov model

Guo-gang Wang, Gui-jin Tang, Zong-liang Gan, Zi-guan Cui and Xiu-chang Zhu

Chaos, Solitons & Fractals, 2016, vol. 89, issue C, 435-446

Abstract: A novel model referred to as two-dimensional continuous 3 × 3 order hidden Markov model is put forward to avoid the disadvantages of the classical hypothesis of two-dimensional continuous hidden Markov model. This paper presents three equivalent definitions of the model, in which the state transition probability relies on not only immediate horizontal and vertical states but also immediate diagonal state, and in which the probability density of the observation relies on not only current state but also immediate horizontal and vertical states. The paper focuses on the three basic problems of the model, namely probability density calculation, parameters estimation and path backtracking. Some algorithms solving the questions are theoretically derived, by exploiting the idea that the sequences of states on rows or columns of the model can be viewed as states of a one-dimensional continuous 1 × 2 order hidden Markov model. Simulation results further demonstrate the performance of the algorithms. Because there are more statistical characteristics in the structure of the proposed new model, it can more accurately describe some practical problems, as compared to two-dimensional continuous hidden Markov model.

Keywords: Markov; Observation matrices; State matrices; Hidden Markov model (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:89:y:2016:i:c:p:435-446

DOI: 10.1016/j.chaos.2016.02.006

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