Change detection of Hidden Markov Models

被引：3
|
作者：
Gerencsér, L [1 ]
Molnár-Sáska, G [1 ]
机构：
[1] Hungarian Acad Sci, Inst Comp & Automat, H-1111 Budapest, Hungary
来源：
2004 43RD IEEE CONFERENCE ON DECISION AND CONTROL (CDC), VOLS 1-5 | 2004年
关键词：
D O I：
10.1109/CDC.2004.1430298
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Let (theta) over cap (N) denote the maximum-likelihood estimator of the true parameter theta* of a Hidden Markov Model with fixed gain or forgetting rate lambda. We establish an explicit formula for the error term (theta) over cap (N) - theta*. Using the representation of the error term we investigate the effect of parameter uncertainty on the performance of an adaptive encoding procedure. Using this result and ideas from the theory of stochastic complexity a change point detection method for HMM-s will be developed.
引用
收藏
页码：1754 / 1758
页数：5
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