PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

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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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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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Computational, Information-Theoretic Learning with Statistics
Theory & Algorithms
ID Code:4867
Deposited By:Elisabeth Gassiat
Deposited On:24 March 2009

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