Consistent HMM parameter estimation using Kerridge inaccuracy rates

Molloy, Timothy L. & Ford, Jason J. (2013) Consistent HMM parameter estimation using Kerridge inaccuracy rates. In Australian Control Conference (AUCC 2013), 4-5 November 2013, Perth, Australia.

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Abstract

In this paper, we propose a novel online hidden Markov model (HMM) parameter estimator based on Kerridge inaccuracy rate (KIR) concepts. Under mild identifiability conditions, we prove that our online KIR-based estimator is strongly consistent. In simulation studies, we illustrate the convergence behaviour of our proposed online KIR-based estimator and provide a counter-example illustrating the local convergence properties of the well known recursive maximum likelihood estimator (arguably the best existing solution).

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ID Code: 66066
Item Type: Conference Paper
Refereed: Yes
Additional URLs:
Keywords: parameter estimation, Kerridge inaccuracy, hidden Markov model
DOI: 10.1109/AUCC.2013.6697250
Subjects: Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Statistical Theory (010405)
Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600) > Signal Processing (090609)
Divisions: Current > Schools > School of Electrical Engineering & Computer Science
Past > QUT Faculties & Divisions > Faculty of Science and Technology
Copyright Owner: Copyright 2013 Engineers Australia
Deposited On: 13 Jan 2014 22:45
Last Modified: 19 Jan 2014 04:48

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