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Linear filtering and state space representations of hidden Markov models

Andersson, Sofia LU ; Rydén, Tobias LU and Johansson, Rolf LU (2002) In Preprint without journal information
Abstract
The topic of this paper is linear filtering of hidden Markov models (HMMs) and linear innovation form representations of HMMs. The possibility to represent the widely used HMM as a state space model is interesting in its own respect, but our interest also comes from subspace estimation methods. To be able to fit the HMM into the framework of subspace methods the process needs to be formulated in state space form. This reformulation is complicated by the non-minimality within the state space representation of the HMM. The reformulation involves deriving solutions to algebraic Riccati equations which are usually treated under minimality assumptions.
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author
organization
publishing date
type
Contribution to journal
publication status
unpublished
subject
in
Preprint without journal information
issue
2002:5
publisher
Manne Siegbahn Institute
ISSN
0348-7911
language
English
LU publication?
yes
id
fbf317aa-2a73-4b0f-9de1-b53866c01454 (old id 829857)
date added to LUP
2008-01-07 12:30:20
date last changed
2016-04-16 06:54:40
@misc{fbf317aa-2a73-4b0f-9de1-b53866c01454,
  abstract     = {The topic of this paper is linear filtering of hidden Markov models (HMMs) and linear innovation form representations of HMMs. The possibility to represent the widely used HMM as a state space model is interesting in its own respect, but our interest also comes from subspace estimation methods. To be able to fit the HMM into the framework of subspace methods the process needs to be formulated in state space form. This reformulation is complicated by the non-minimality within the state space representation of the HMM. The reformulation involves deriving solutions to algebraic Riccati equations which are usually treated under minimality assumptions.},
  author       = {Andersson, Sofia and Rydén, Tobias and Johansson, Rolf},
  issn         = {0348-7911},
  language     = {eng},
  number       = {2002:5},
  publisher    = {ARRAY(0x9aca790)},
  series       = {Preprint without journal information},
  title        = {Linear filtering and state space representations of hidden Markov models},
  year         = {2002},
}