A MDL approach to HMM with Poisson and Gaussian emissions. Application to order indentification.
Antoine Chambaz, Aurelien Garivier and Elisabeth Gassiat
Journal of Statistical Planning and Inference 2009.

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Abstract

We address the issue of order identification for {\HMM} with Poisson and Gaussian emissions. We prove information-theoretic {\BIC}-like mixture inequalities in the spirit of \cite{Fi91,LN94,GB03}. These inequalities lead to consistent penalized estimators that need no prior bound on the order nor on the parameters of the mixture components.

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• A MDL approach to HMM with Poisson and Gaussian emissions. Application to order indentification. (deposited 28 November 2005)
  • A MDL approach to HMM with Poisson and Gaussian emissions. Application to order indentification. (deposited 24 March 2009) [Currently Displayed]

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