Approximation of stationary processes by hidden Markov models
نویسندگان
چکیده
منابع مشابه
Approximation of stationary processes by hidden Markov models
We propose an algorithm for 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, and approximate it with a properly defined ...
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ژورنال
عنوان ژورنال: Mathematics of Control, Signals, and Systems
سال: 2010
ISSN: 0932-4194,1435-568X
DOI: 10.1007/s00498-010-0050-7