EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective
نویسندگان
چکیده
منابع مشابه
Monte Carlo Hidden Markov Models
We present a learning algorithm for hidden Markov models with continuous state and observation spaces. All necessary probability density functions are approximated using samples, along with density trees generated from such samples. A Monte Carlo version of Baum-Welch (EM) is employed to learn models from data, just as in regular HMM learning. Regularization during learning is obtained using an...
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ژورنال
عنوان ژورنال: Bayesian Analysis
سال: 2008
ISSN: 1936-0975
DOI: 10.1214/08-ba326