{"title":"Dynamic Models for Nonstationary Signal Segmentation","authors":"William D. Penny, Stephen J. Roberts","doi":"10.1006/cbmr.1999.1511","DOIUrl":null,"url":null,"abstract":"<div><p>This paper investigates Hidden Markov Models (HMMs) in which the observations are generated from an autoregressive (AR) model. The overall model performs nonstationary spectral analysis and automatically segments a time series into discrete dynamic regimes. Because learning in HMMs is sensitive to initial conditions, we initialize the HMM model with parameters derived from a cluster analysis of Kalman filter coefficients. An important aspect of the Kalman filter implementation is that the state noise is estimated on-line. This allows for an initial estimation of AR parameters for each of the different dynamic regimes. These estimates are then fine-tuned with the HMM model. The method is demonstrated on a number of synthetic problems and on electroencephalogram data.</p></div>","PeriodicalId":75733,"journal":{"name":"Computers and biomedical research, an international journal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"1999-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1006/cbmr.1999.1511","citationCount":"69","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computers and biomedical research, an international journal","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0010480999915112","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 69
Abstract
This paper investigates Hidden Markov Models (HMMs) in which the observations are generated from an autoregressive (AR) model. The overall model performs nonstationary spectral analysis and automatically segments a time series into discrete dynamic regimes. Because learning in HMMs is sensitive to initial conditions, we initialize the HMM model with parameters derived from a cluster analysis of Kalman filter coefficients. An important aspect of the Kalman filter implementation is that the state noise is estimated on-line. This allows for an initial estimation of AR parameters for each of the different dynamic regimes. These estimates are then fine-tuned with the HMM model. The method is demonstrated on a number of synthetic problems and on electroencephalogram data.