Segmentation with hidden Markov model

Stochastics Seminar
Thursday, March 4, 2010 - 3:00pm for 1 hour (actually 50 minutes)
Skiles 269
Dr Juri Lember – Tartu University, Estonia –
Heinrich Matzinger
Abstract: We consider the hidden Markov model, where the dynamic of theprocess is modelled by a latent Markov chain Y and the observations X aresuch that: 1) given the realization of Y, the observations areindependent; 2) the distribution of the i-th observations (X_i) depends onthe i-th element of the Y (Y_i), only.The segmentation problem consists of estimating the underlying realization(path) of Y given the n observation. Usually the realization with maximumlikelihood, the so called Viterbi alignment is used. On the other hand, itis easy to see that the Viterbi alignment does not minimize the expectednumber of misclassification errors.We consider the segmentation problem in the framework of statisticallearning. This unified risk-based approach helps to analyse many existingalignments as well as defining many new ones. We also study theasymptotics of the risks and infinite alignments.