Finite state space non parametric Hidden Markov Models are in general identifiable

• DOI: 10.48550/arxiv.1306.4657
• Publication Date: 2013-01-01
• Authors: Gassiat, Elisabeth; Cleynen, Alice; Robin, Stéphane
• Keywords: Methodology (stat.ME); FOS: Computer and information sciences; 0101 mathematics; 01 natural sciences; Statistics - Methodology

In this paper, we prove that finite state space non parametric hidden Markov models are identifiable as soon as the transition matrix of the latent Markov chain has full rank and the emission probability distributions are linearly independent. We then propose several non parametric likelihood based estimation methods, which we apply to models used in applications. We finally show on examples that the use of non parametric modeling and estimation may improve the classification performances.