Title :
Prediction in hidden Markov Models using sequential Monte Carlo methods
Author :
Zhang, Dongqing ; Ning, Xuanxi ; Liu, Xueni ; Ma, Hongwei
Author_Institution :
Nanjing Univ. of Aeronaut. & Astronaut., Nanjing
Abstract :
A novel method of multistep-ahead prediction based on joint probability distribution is proposed in this paper. Firstly, we introduce the basic theory of hidden Markov model (HMM) and sequential Monte Carlo (SMC) method. Secondly, we make the joint multistep-ahead prediction using SMC method in HMM and then develop the corresponding on-line algorithm. At last, the data of monthly national air passengers in America, from Jan. 1990 to Aug 2001, are analyzed, and experimental results demonstrate that the method proposed in this paper is effective.
Keywords :
Monte Carlo methods; hidden Markov models; prediction theory; hidden Markov model; joint probability distribution; multistep-ahead prediction; sequential Monte Carlo method; Economic forecasting; Hidden Markov models; Intelligent systems; Monte Carlo methods; Probability density function; Probability distribution; Sliding mode control; State estimation; Stochastic processes; Trajectory;
Conference_Titel :
Grey Systems and Intelligent Services, 2007. GSIS 2007. IEEE International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-1294-5
Electronic_ISBN :
978-1-4244-1294-5
DOI :
10.1109/GSIS.2007.4443368
