Bayesian Analysis

EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective

Tobias Rydén

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Abstract

Hidden Markov models (HMMs) and related models have become standard in statistics during the last 15--20 years, with applications in diverse areas like speech and other statistical signal processing, hydrology, financial statistics and econometrics, bioinformatics etc. Inference in HMMs is traditionally often carried out using the EM algorithm, but examples of Bayesian estimation, in general implemented through Markov chain Monte Carlo (MCMC) sampling are also frequent in the HMM literature. The purpose of this paper is to compare the EM and MCMC approaches in three cases of different complexity; the examples include model order selection, continuous-time HMMs and variants of HMMs in which the observed data depends on many hidden variables in an overlapping fashion. All these examples in some way or another originate from real-data applications. Neither EM nor MCMC analysis of HMMs is a black-box methodology without need for user-interaction, and we will illustrate some of the problems, like poor mixing and long computation times, one may expect to encounter.

Article information

Source
Bayesian Anal., Volume 3, Number 4 (2008), 659-688.

Dates
First available in Project Euclid: 22 June 2012

Permanent link to this document
https://projecteuclid.org/euclid.ba/1340370402

Digital Object Identifier
doi:10.1214/08-BA326

Mathematical Reviews number (MathSciNet)
MR2469793

Zentralblatt MATH identifier
1330.65023

Keywords
hidden Markov model incomplete data missing data EM Markov chain Monte Carlo trans-dimensional Monte Carlo computational statistics

Citation

Rydén, Tobias. EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective. Bayesian Anal. 3 (2008), no. 4, 659--688. doi:10.1214/08-BA326. https://projecteuclid.org/euclid.ba/1340370402


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See also

  • Related item: Sylvia Frühwirth-Schnatter. Comment on article by Rydén. Bayesian Anal., Vol. 3, Iss. 4 (2008), 689-697.
  • Related item: Sergey Kirshner, Padhraic Smyth. Comment on article by Rydén. Bayesian Anal., Vol. 3, Iss. 4 (2008), 699-705.
  • Related item: Tobias Rydén. Rejoinder. Bayesian Anal., Vol. 3, Iss. 4 (2008), 707-715.