Estimation of Viterbi path in Bayesian hidden Markov models

Jüri Lember (), Dario Gasbarra, Alexey Koloydenko and Kristi Kuljus
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Jüri Lember: University of Tartu
Dario Gasbarra: University of Helsinki
Alexey Koloydenko: Royal Holloway, University of London
Kristi Kuljus: University of Tartu

METRON, 2019, vol. 77, issue 2, No 6, 137-169

Abstract: Abstract The article studies different methods for estimating the Viterbi path in the Bayesian framework. The Viterbi path is an estimate of the underlying state path in hidden Markov models (HMMs), which has a maximum joint posterior probability. Hence it is also called the maximum a posteriori (MAP) path. For an HMM with given parameters, the Viterbi path can be easily found with the Viterbi algorithm. In the Bayesian framework the Viterbi algorithm is not applicable and several iterative methods can be used instead. We introduce a new EM-type algorithm for finding the MAP path and compare it with various other methods for finding the MAP path, including the variational Bayes approach and MCMC methods. Examples with simulated data are used to compare the performance of the methods. The main focus is on non-stochastic iterative methods and our results show that the best of those methods work as well or better than the best MCMC methods. Our results demonstrate that when the primary goal is segmentation, then it is more reasonable to perform segmentation directly by considering the transition and emission parameters as nuisance parameters.

Keywords: HMM; Bayes inference; MAP path; Viterbi algorithm; Segmentation; EM; Variational Bayes; Simulated annealing (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:metron:v:77:y:2019:i:2:d:10.1007_s40300-019-00152-7

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DOI: 10.1007/s40300-019-00152-7

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