Approximate forward-backward algorithm for a switching linear Gaussian model

@article{Hammer2011ApproximateFA,
  title={Approximate forward-backward algorithm for a switching linear Gaussian model},
  author={Hugo Lewi Hammer and H{\aa}kon Tjelmeland},
  journal={Computational Statistics & Data Analysis},
  year={2011},
  volume={55},
  pages={154-167}
}
Motivated by the application of seismic inversion in the petroleum industry we consider a hidden Markov model with two hidden layers. The bottom layer is a Markov chain and given this the variables in the second hidden layer are assumed conditionally independent and Gaussian distributed. The observation process is assumed Gaussian with mean values that are linear functions of the second hidden layer. This model class, which we call switching linear Gaussian models, has clear similarities with… CONTINUE READING