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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 Preprints in Mathematical Sciences LUTFMS-5019-2002 (2002:5).
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
Book/Report
publication status
published
subject
in
Preprints in Mathematical Sciences
volume
LUTFMS-5019-2002
issue
2002:5
publisher
Center for Mathematical Sceinces, Lund University
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
2019-04-03 02:16:48
@techreport{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},
  institution  = {Center for Mathematical Sceinces, Lund University},
  language     = {eng},
  number       = {2002:5},
  series       = {Preprints in Mathematical Sciences },
  title        = {Linear filtering and state space representations of hidden Markov models},
  volume       = {LUTFMS-5019-2002 },
  year         = {2002},
}