February 2024 The infinite Viterbi alignment and decay-convexity
Nick Whiteley, Matt W. Jones, Aleks P.F. Domanski
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Bernoulli 30(1): 252-277 (February 2024). DOI: 10.3150/23-BEJ1596

Abstract

The infinite Viterbi alignment is the limiting maximum a-posteriori estimate of the unobserved path in a hidden Markov model as the length of the time horizon grows. For models on state-space Rd satisfying a new “decay-convexity” condition, we develop an approach to existence of the infinite Viterbi alignment in an infinite dimensional Hilbert space. Quantitative bounds on the distance to the Viterbi process, which are the first of their kind, are derived and used to illustrate how approximate estimation via parallelization can be accurate and scaleable to high-dimensional problems because the rate of convergence to the infinite Viterbi alignment does not necessarily depend on d. The results are applied to approximate estimation via parallelization and a model of neural population activity.

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Nick Whiteley. Matt W. Jones. Aleks P.F. Domanski. "The infinite Viterbi alignment and decay-convexity." Bernoulli 30 (1) 252 - 277, February 2024. https://doi.org/10.3150/23-BEJ1596

Information

Received: 1 September 2021; Published: February 2024
First available in Project Euclid: 8 November 2023

MathSciNet: MR4665577
zbMATH: 07788883
Digital Object Identifier: 10.3150/23-BEJ1596

Keywords: Convex optimization , Hidden Markov models , MAP estimation , parallelization

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Vol.30 • No. 1 • February 2024
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