Title :
Risk and information in the estimation of hidden Markov models
Author :
Ramezani, Vahid R. ; Fu, Michael ; Marcus, Steven I.
Author_Institution :
Inst. for Syst. Res., Maryland Univ., USA
Abstract :
In this paper, we consider the relationship between risk-sensitivity and information. Product estimators are introduced as a generalization of maximum a posteriori probability (MAP) estimator for hidden Markov models. We study the relationship between the inclusion of higher order moments, the underlying dynamics and the availability of information. Asymptotic periodicity of these estimators and the relationship between risk and information is studied via simulation.
Keywords :
hidden Markov models; simulation; state estimation; asymptotic periodicity; hidden Markov model; maximum a posteriori probability estimator; product estimators; risk sensitivity; Costs; Educational institutions; Estimation error; Filter bank; Hidden Markov models; Probability distribution; State estimation;
Conference_Titel :
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN :
0-7803-8786-4
DOI :
10.1109/WSC.2004.1371504
