Generic Identification of Binary-Valued Hidden Markov Processes
SchÃ¶nhuth, Alexander
Creator
Faculty
A.Schoenhuth@cwi.nl
MATH / Applied Mathematics
Illinois Institute of Technology
Affiliated department
Algebraic Statistics
Hidden Markov Processes
Generic Identification
2014
2014-04-30
The generic identification problem is to decide whether a stochastic process (X_t) is a hidden Markov process and if yes to infer its parameters for all but a subset of parametrizations that form a lower-dimensional subvariety in parameter space. Partial answers so far available depend on extra assumptions on the processes, which are usually centered around stationarity. Here we present a general solution for binary-valued hidden Markov processes. Our approach is rooted in algebraic statistics hence it is geometric in nature. We find that the algebraic varieties associated with the probability distributions of binary-valued hidden Markov processes are zero sets of determinantal equations which draws a connection to well-studied objects from algebra. As a consequence, our solution allows for algorithmic implementation based on elementary (linear) algebraic routines.
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