Sensitivity of hidden Markov models
Alexander Yu. Mitrophanov, Alexandre Lomsadze, and Mark Borodovsky
Source: J. Appl. Probab. Volume 42, Number 3 (2005), 632-642.
Abstract
We derive a tight perturbation bound for hidden Markov models. Using this bound, we show that, in many cases, the distribution of a hidden Markov model is considerably more sensitive to perturbations in the emission probabilities than to perturbations in the transition probability matrix and the initial distribution of the underlying Markov chain. Our approach can also be used to assess the sensitivity of other stochastic models, such as mixture processes and semi-Markov processes.
Primary Subjects: 93B35
Secondary Subjects: 62M09, 60J10, 60E05
Keywords: Hidden Markov model; Markov chain; mixture; semi-Markov process; perturbation bound; sensitivity analysis
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1127322017
Digital Object Identifier: doi:10.1239/jap/1127322017
Mathematical Reviews number (MathSciNet):
MR2157510
Zentralblatt MATH identifier:
05001863
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