Introduction to Hidden Semi-Markov Models

John van der Hoek, Robert J. Elliott

• Publisher: Cambridge University Press
• Year: 2018
• Print ISBN: 9781108441988
• eBook ISBN: 9781108383905
• Topic: Mathematics
• Subtopic: Probability & Statistics
• Index: Mathematics

Markov chains and hidden Markov chains have applications in many areas of engineering and genomics. This book provides a basic introduction to the subject by first developing the theory of Markov processes in an elementary discrete time, finite state framework suitable for senior undergraduates and graduates. The authors then introduce semi-Markov chains and hidden semi-Markov chains, before developing related estimation and filtering results. Genomics applications are modelled by discrete observations of these hidden semi-Markov chains. This book contains new results and previously unpublished material not available elsewhere. The approach is rigorous and focused on applications.

Table of contents

• Cover
• Series page
• Title page
• Copyright page
• Contents
• Preface
• 1 Observed Markov Chains
• 2 Estimation of an Observed Markov Chain
• 3 Hidden Markov Models
• 4 Filters and Smoothers
• 5 The Viterbi Algorithm
• 6 The EM Algorithm
• 7 A New Markov Chain Model
• 8 Semi-Markov Models
• 9 Hidden Semi-Markov Models
• 10 Filters for Hidden Semi-Markov Models
• Appendix A Higher-Order Chains
• Appendix B An Example of a Second-Order Chain
• Appendix C A Conditional Bayes Theorem
• Appendix D On Conditional Expectations
• Appendix E Some Molecular Biology
• Appendix F Earlier Applications of Hidden Markov Chain Models
• References
• Index