arXiv research

We propose a framework, named Aggregated Wasserstein, for computing a dissimilarity measure or distance between two Hidden Markov Models with state conditional distributions being Gaussian. For such HMMs, the marginal distribution at any time spot follows a Gaussian mixture distribution, a fact exploited to softly matc…

We propose a framework, named Aggregated Wasserstein, for computing a dissimilarity measure or distance between two Hidden Markov Models with state conditional distributions being Gaussian. For such HMMs, the marginal distribution at any time position follows a Gaussian mixture distribution, a fact exploited to softly …

Proposes a new framework for investing that adapts to market regimes.

GMM-HMMs improve malware classification compared to discrete HMMs.

Develops a more flexible HDP-HMM for temporal data segmentation.

A new model separates persistence and transition priors in HDP-HMM.

As deep neural networks continue to revolutionize various application domains, there is increasing interest in making these powerful models more understandable and interpretable, and narrowing down the causes of good and bad predictions. We focus on recurrent neural networks (RNNs), state of the art models in speech re…

HMRNN combines HMMs and neural networks for Alzheimer's disease forecasting.

We study the problem of learning overcomplete HMMs---those that have many hidden states but a small output alphabet. Despite having significant practical importance, such HMMs are poorly understood with no known positive or negative results for efficient learning. In this paper, we present several new results---both po…

The paper uses HMM and LSTM for stock market trend analysis.

LC-CRFs are equivalent to HMMs, and MPM/MAP classifiers can be reformulated as CRFs.

The hidden Markov model (HMM) is a generative model that treats sequential data under the assumption that each observation is conditioned on the state of a discrete hidden variable that evolves in time as a Markov chain. In this paper, we derive a novel algorithm to cluster HMMs through their probability distributions.…

New method estimates HMM hidden states efficiently.

Paper tackles HMM learning with unknown missing observation locations.

Language models based on deep neural networks and traditional stochastic modelling have become both highly functional and effective in recent times. In this work, a general survey into the two types of language modelling is conducted. We investigate the effectiveness of the Hidden Markov Model (HMM), and the Long Short…

Paper tackles efficient HMM learning with conditional samples.

As deep neural networks continue to revolutionize various application domains, there is increasing interest in making these powerful models more understandable and interpretable, and narrowing down the causes of good and bad predictions. We focus on recurrent neural networks, state of the art models in speech recogniti…

Suppose that we are given a time series where consecutive samples are believed to come from a probabilistic source, that the source changes from time to time and that the total number of sources is fixed. Our objective is to estimate the distributions of the sources. A standard approach to this problem is to model the …

Hidden Markov Models (HMMs) are a ubiquitous tool to model time series data, and have been widely used in two main tasks of Automatic Music Transcription (AMT): note segmentation, i.e. identifying the played notes after a multi-pitch estimation, and sequential post-processing, i.e. correcting note segmentation using tr…

The hidden Markov model (HMM) is a widely-used generative model that copes with sequential data, assuming that each observation is conditioned on the state of a hidden Markov chain. In this paper, we derive a novel algorithm to cluster HMMs based on the hierarchical EM (HEM) algorithm. The proposed algorithm i) cluster…

As one of Bayesian analysis tools, Hidden Markov Model (HMM) has been used to in extensive applications. Most HMMs are solved by Baum-Welch algorithm (BWHMM) to predict the model parameters, which is difficult to find global optimal solutions. This paper proposes an optimized Hidden Markov Model with Particle Swarm Opt…

Analysis of pretrained models' effectiveness in downstream tasks.

This paper addresses the issue of model selection for hidden Markov models (HMMs). We generalize factorized asymptotic Bayesian inference (FAB), which has been recently developed for model selection on independent hidden variables (i.e., mixture models), for time-dependent hidden variables. As with FAB in mixture model…

We consider the smoothing probabilities of hidden Markov model (HMM). We show that under fairly general conditions for HMM, the exponential forgetting still holds, and the smoothing probabilities can be well approximated with the ones of double sided HMM. This makes it possible to use ergodic theorems. As an applicatio…

Eye Movement analysis with Hidden Markov Models (EMHMM) is a method for modeling eye fixation sequences using hidden Markov models (HMMs). In this report, we run a simulation study to investigate the estimation error for learning HMMs with variational Bayesian inference, with respect to the number of sequences and the …

In this paper, we explore the effectiveness of dynamic analysis techniques for identifying malware, using Hidden Markov Models (HMMs) and Profile Hidden Markov Models (PHMMs), both trained on sequences of API calls. We contrast our results to static analysis using HMMs trained on sequences of opcodes, and show that dyn…

We consider learning parameters of Binomial Hidden Markov Models, which may be used to model DNA methylation data. The standard algorithm for the problem is EM, which is computationally expensive for sequences of the scale of the mammalian genome. Recently developed spectral algorithms can learn parameters of latent va…

Efficiently models tree-like data with coupled branches using HMMs.

New algorithm for aggregate inference in HMMs with continuous observations.

Bayesian HMM for protein alignment state estimation.

Hidden Markov Models (HMM) have been used for several years in many time series analysis or pattern recognitions tasks. HMM are often trained by means of the Baum-Welch algorithm which can be seen as a special variant of an expectation maximization (EM) algorithm. Second-order training techniques such as Variational Ba…

Since the early days of digital communication, Hidden Markov Models (HMMs) have now been routinely used in speech recognition, processing of natural languages, images, and in bioinformatics. An HMM $(X_i,Y_i)_{i\ge 1}$ assumes observations $X_1,X_2,...$ to be conditionally independent given an "explanotary" Markov proc…

The technological applications of hidden Markov models have been extremely diverse and successful, including natural language processing, gesture recognition, gene sequencing, and Kalman filtering of physical measurements. HMMs are highly non-linear statistical models, and just as linear models are amenable to linear a…

This paper demonstrates two novel methods to estimate the global SNR of speech signals. In both methods, Deep Neural Network-Hidden Markov Model (DNN-HMM) acoustic model used in speech recognition systems is leveraged for the additional task of SNR estimation. In the first method, the entropy of the DNN-HMM output is c…

There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the traditional HMM. However, in many settings the HDP-HMM's strict Markovian constraints are undesirable, particularly if we wish to learn or encode non-geometric state durations.…

Predict stock prices using HMMs trained on fractional price changes and intraday highs/ lows.

DenseHMM improves HMMs by learning dense representations that enable gradient-based optimization.

Genetic sequence data are well described by hidden Markov models (HMMs) in which latent states correspond to clusters of similar mutation patterns. Theory from statistical genetics suggests that these HMMs are nonhomogeneous (their transition probabilities vary along the chromosome) and have large support for self tran…

In this paper, we establish a robustification of an on-line algorithm for modelling asset prices within a hidden Markov model (HMM). In this HMM framework, parameters of the model are guided by a Markov chain in discrete time, parameters of the asset returns are therefore able to switch between different regimes. The p…

Hidden Markov models (HMMs) are one of the most widely used statistical methods for analyzing sequence data. However, the reporting of output from HMMs has largely been restricted to the presentation of the most-probable (MAP) hidden state sequence, found via the Viterbi algorithm, or the sequence of most probable marg…

In this letter we borrow from the inference techniques developed for unbounded state-cardinality (nonparametric) variants of the HMM and use them to develop a tuning-parameter free, black-box inference procedure for Explicit-state-duration hidden Markov models (EDHMM). EDHMMs are HMMs that have latent states consisting…

Variable order sequence modeling is an important problem in artificial and natural intelligence. While overcomplete Hidden Markov Models (HMMs), in theory, have the capacity to represent long-term temporal structure, they often fail to learn and converge to local minima. We show that by constraining HMMs with a simple …

In this note we provide detailed derivations of two versions of small-variance asymptotics for hierarchical Dirichlet process (HDP) mixture models and the HDP hidden Markov model (HDP-HMM, a.k.a. the infinite HMM). We include derivations for the probabilities of certain CRP and CRF partitions, which are of more general…

Markovian RNN adapts to nonstationary data using HMM for better time series prediction.

The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run, these strategies often suffer from severe short-term drawdown (peak-to-trough dec…

The paper parallelizes HMM inference for efficient long-term computations.

Hidden Markov model (HMM) has been successfully used for sequential data modeling problems. In this work, we propose to power the modeling capacity of HMM by bringing in neural network based generative models. The proposed model is termed as GenHMM. In the proposed GenHMM, each HMM hidden state is associated with a neu…

We consider the problem of speaker diarization, the problem of segmenting an audio recording of a meeting into temporal segments corresponding to individual speakers. The problem is rendered particularly difficult by the fact that we are not allowed to assume knowledge of the number of people participating in the meeti…