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http://dx.doi.org/10.9717/kmms.2016.19.1.022

Discrete HMM Training Algorithm for Incomplete Time Series Data  

Sin, Bong-Kee (Dept. of IT Convergence and Applications Engineering, Pukyong National University)
Publication Information
Journal of Korea Multimedia Society / v.19, no.1, 2016 , pp. 22-29 More about this Journal
Abstract
Hidden Markov Model is one of the most successful and popular tools for modeling real world sequential data. Real world signals come in a variety of shapes and variabilities, among which temporal and spectral ones are the prime targets that the HMM aims at. A new problem that is gaining increasing attention is characterizing missing observations in incomplete data sequences. They are incomplete in that there are holes or omitted measurements. The standard HMM algorithms have been developed for complete data with a measurements at each regular point in time. This paper presents a modified algorithm for a discrete HMM that allows substantial amount of omissions in the input sequence. Basically it is a variant of Baum-Welch which explicitly considers the case of isolated or a number of omissions in succession. The algorithm has been tested on online handwriting samples expressed in direction codes. An extensive set of experiments show that the HMM so modeled are highly flexible showing a consistent and robust performance regardless of the amount of omissions.
Keywords
Hidden Markov Model; Training Algorithm; Discrete HMM; Incomplete Sequence Data;
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