Existence of infinite Viterbi path for pairwise Markov models

Jüri Lember and Joonas Sova

Stochastic Processes and their Applications, 2020, vol. 130, issue 3, 1388-1425

Abstract: For hidden Markov models one of the most popular estimates of the hidden chain is the Viterbi path — the path maximizing the posterior probability. We consider a more general setting, called the pairwise Markov model, where the joint process consisting of finite-state hidden regime and observation process is assumed to be a Markov chain. We prove that under some conditions it is possible to extend the Viterbi path to infinity for almost every observation sequence which in turn enables to define an infinite Viterbi decoding of the observation process, called the Viterbi process. This is done by constructing a block of observations, called a barrier, which ensures that the Viterbi path goes through a given state whenever this block occurs in the observation sequence.

Date: 2020
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DOI: 10.1016/j.spa.2019.05.004

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