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Fast and Consistent Learning of Hidden Markov Models by Incorporating Non-Consecutive Correlations

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Abstract

Can the parameters of a hidden Markov model (HMM) be estimated from a single sweep through the observations-and additionally, without being trapped at a local optimum in the likelihood surface? That is the premise of recent method of moments algorithms devised for HMMs. In these, correlations between consecutive pair-or tripletwise observations are empirically estimated and used to compute estimates of the HMM parameters. Albeit computationally very attractive, the main drawback is that by restricting to only loworder correlations in the data, information is being neglected which results in a loss of accuracy (compared to standard maximum likelihood schemes). In this paper, we propose extending these methods (both pair-and triplet-based) by also including non-consecutive correlations in a way which does not significantly increase the computational cost (which scales linearly with the number of additional lags included). We prove strong consistency of the new methods, and demonstrate an improved performance in numerical experiments on both synthetic and real-world financial timeseries datasets.
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Dates and versions

hal-03033415 , version 1 (01-12-2020)

Identifiers

  • HAL Id : hal-03033415 , version 1

Cite

Robert Mattila, Cristian R Rojas, Eric Moulines, Vikram Krishnamurthy, Bo Wahlberg. Fast and Consistent Learning of Hidden Markov Models by Incorporating Non-Consecutive Correlations. ICML 2020 - 37th International Conference on Machine Learning, Jul 2020, Vienna / Virtuel, Austria. ⟨hal-03033415⟩
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