Sensitivity of hidden Markov models release_zkmmldf5sbfcrhf75mhelgltwe

by Alexander Yu. Mitrophanov, Alexandre Lomsadze, Mark Borodovsky

Published in Journal of Applied Probability by Cambridge University Press (CUP).

2005   Volume 42, Issue 03, p632-642


We derive a tight perturbation bound for hidden Markov models. Using this bound, we show that, in many cases, the distribution of a hidden Markov model is considerably more sensitive to perturbations in the emission probabilities than to perturbations in the transition probability matrix and the initial distribution of the underlying Markov chain. Our approach can also be used to assess the sensitivity of other stochastic models, such as mixture processes and semi-Markov processes.
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