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Linear Optimal Prediction and Innovations Representations of Hidden Markov Models

Andersson, Sofia; Rydén, Tobias LU and Johansson, Rolf LU (2003) In Stochastic Processes and their Applications 108(1). p.131-149
Abstract
The topic of this paper is linear optimal prediction of hidden Markov models (HMMs) and innovations representations of HMMs. Our interest in these topics primarily arise from subspace estimation methods, which are intrinsically linked to such representations. For HMMs, derivation of innovations representations is complicated by non-minimality of the corresponding state space representations, and requires the solution of algebraic Riccati equations under non-minimality assumptions.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Non-minimality, Kalman filter, Hidden Markov model, Innovations representation, Prediction error representation, Riccati equation
in
Stochastic Processes and their Applications
volume
108
issue
1
pages
131 - 149
publisher
Elsevier
external identifiers
  • wos:000185803500006
  • scopus:0141688288
ISSN
1879-209X
DOI
10.1016/S0304-4149(03)00086-3
language
English
LU publication?
yes
id
6c093aa9-26f8-4750-a14a-7688dc2c86c6 (old id 161696)
date added to LUP
2007-06-21 13:30:18
date last changed
2018-01-07 09:48:04
@article{6c093aa9-26f8-4750-a14a-7688dc2c86c6,
  abstract     = {The topic of this paper is linear optimal prediction of hidden Markov models (HMMs) and innovations representations of HMMs. Our interest in these topics primarily arise from subspace estimation methods, which are intrinsically linked to such representations. For HMMs, derivation of innovations representations is complicated by non-minimality of the corresponding state space representations, and requires the solution of algebraic Riccati equations under non-minimality assumptions.},
  author       = {Andersson, Sofia and Rydén, Tobias and Johansson, Rolf},
  issn         = {1879-209X},
  keyword      = {Non-minimality,Kalman filter,Hidden Markov model,Innovations representation,Prediction error representation,Riccati equation},
  language     = {eng},
  number       = {1},
  pages        = {131--149},
  publisher    = {Elsevier},
  series       = {Stochastic Processes and their Applications},
  title        = {Linear Optimal Prediction and Innovations Representations of Hidden Markov Models},
  url          = {http://dx.doi.org/10.1016/S0304-4149(03)00086-3},
  volume       = {108},
  year         = {2003},
}