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EXPLICIT STATE-ESTIMATION ERROR CALCULATIONS FOR FLAG HIDDEN MARKOV MODELS

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DigitalSignalProcessing February7,2017

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Explicit StateEstimation Error Calculations for Flag Hidden Markov Models

2016
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Abstract:
Subject
State estimation is studied for a special class of flag Hidden Markov Models
(HMMs),whichcomprise1)anarbitraryfinitestateunderlyingMarkovchainand Re: Explicit StateEstimation Error Calculations for Flag Hidden Markov Models 2016
2)astructuredobservationprocesswhereinasubsetofstatesemitdistinctflags
Message
with some probability while other states are unmeasured. For flag HMMs, an
explicit computation of the probability of error for the maximumlikelihood filter
and smoother is developed. Also, the form of the optimal filter is further
characterizedintermsofthetimesincethelastflag,andthisresultisusedtofurthersimplifytheerrorprobabilitycomputation.Some
preliminarygraphtheoreticinsightsintotheerrorprobabilityanditscomputationarediscussed.Finally,thesealgebraicandstructural
resultsareleveragedtoaddresssensorplacementintwoexamples,includingoneonactivitymonitoringinahomeenvironmentthatis
drawn from field data. These examples indicate that low errorprobability filtering and smoothing can be achieved with relatively few
sensors.

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