Estimating the Parameters of Randomly Interleaved Markov Models

Sequences that can be assumed to have been generated by a number of Markov models, whose outputs are randomly interleaved but where the actual sources are hidden, occur in a number of practical situations where data is captured as an unlabeled stream of events. We present a practical method for estimating model parameters on large data sets under the assumption that all sources are identical. Results on representative examples are presented, together with a discussion on the accuracy and performance of the proposed estimation algorithms. Finally, we describe a real-world case study where we apply the technique to the sequence of events recorded in the technical support database of an IT vendor.