| Authors |
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| Publication date |
2008
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| Book title |
Proceedings of the 2008 International Workshop on Applied Probability (IWAP 2008)
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| Event |
2008 International Workshop on Applied Probability (IWAP 2008), Compiègne, France
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| Publisher |
Compiègne, France: Université de Technologie de Compiègne
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| Organisations |
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Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
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| Abstract |
We aim at the construction of a Hidden Markov Model (HMM) of assigned complexity (number of states of the underlying Markov chain) which best approximates, in Kullback-Leibler divergence rate, a given stationary process. We establish, under mild conditions, the existence of the divergence rate between a stationary process and an HMM. Since in general there is no analytic expression available for this divergence rate, we approximate it with a properly defined, and easily computable, divergence between Hankel matrices, which we propose as an approximation criterion.
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| Document type |
Conference contribution
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| Note |
Alleen verkrijgbaar op CD-rom
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| Published at |
http://staff.science.uva.nl/~spreij/hmmIWAP2008.pdf
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