SPRT and CUSUM in hidden Markov models

• 成果类型: Article
• 署名作者: Fuh, CD
• 署名单位: Academia Sinica - Taiwan
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1056562468
• 发表日期: 2003
• 页码: 942-977
• 关键词: corrected diffusion approximations; 1st passage times; renewal theory; random-walks; asymptotic expansions; stochastic-models; channels; systems; chains; EQUATIONS

摘要

In this paper, we study the problems of sequential probability ratio tests for parameterized hidden Markov models. We investigate in some detail the performance of the tests and derive corrected Brownian approximations for error probabilities and expected sample sizes. Asymptotic optimality of the sequential probability ratio test for testing simple hypotheses based on hidden Markov chain data is established. Next, we consider the cumulative sum (CUSUM) procedure for change point detection in this model. Based on the renewal property of the stopping rule, CUSUM can be regarded as a repeated one-sided sequential probability ratio test. Asymptotic optimality of the CUSUM procedure is proved in the sense of Lorden (1971). Motivated by the sequential analysis in hidden Markov models, Wald's likelihood ratio identity and Wald's equation for products of Markov random matrices are also given. We apply these results to several types of hidden Markov models: i.i.d. hidden Markov models, switch Gaussian regression and switch Gaussian autoregression, which are commonly used in digital communications, speech recognition, bioinformatics and economics.